There's a lot of hype about the connection between headphones and hearing loss. I can't count the number of times people have looked at my Grados and reminded me to be careful. On the other hand, just the other day, I let somebody listen to my iPod using the Grados and he turned the music all the way to the wall. I could hear the tunes from across the room. I had to ask him to turn it down, not just for his hearing but for the wellbeing of my equipment. George Carlin used to say, "People are goofy." Yeah, and stupid, too.
My first song is always the loudest, luxuriously full but not unreasonable in volume. My ears are still tuning in to the complex tonalities of good music. Once I settle in, rather than the salty snack, carbonated caffeinated cola, sugar and fat feel of that first chug of sound, I pull it back, again and again and again. I find that if I do this in regular intervals, I never feel deprived. Each time I cut back a little, the sound still feels full. By the time I've made the last adjustment, I'm cruising at a very ear-friendly level.
If music has to be cranked up beyond a certain point, it's the cheap speaker phenomenon, where you're using volume quantity to compensate for a lack of sound quality. The clearer and more responsive the headgear, the less you need to blast your ears for effect.