My Grado SR-60 burn-in story:
When I first purchased the Grado SR60's, it was to get away from my 15 dollar sibilant crappy headphones. These certainly solved the problem, but I didn't find them to live up to all the hype that I'd heard surrounding them at the time. Over time, they did get better, and I found them much better, but still not as good as they sound right now. Well, anyway, after a few months of having them, just for kicks, since I want to get new headphones, I did the following:
I turned up the volume on the preamp and the soundcard all the way up, and put on Korn - Freak on a Leash, for like 30 min, and then, I let a 20hz to 20khz sweep run for several hours. I also let The Killers - Hot Fuss album run through several times. I did this for about half a day. When I put them on again, there was a far greater sound than they had before. Mainly, the "lack of bass" was no longer a problem.
I hope this helps somebody, and I'd be interested to know if anybody else can reproduce these results.
Edit: After this, I actually notice a difference when the SR60 is plugged into an amp, and when it is not. Before, there was no difference.