To summarize - there are two camps:
The first camp believes that "burn in" is a myth or at least that there is no real evidence in support of it. This faction maintains that, in essence, you are subjectively acclimating to the sound of your gear, generally appreciating it more over time.
The second, and probably more popular camp (as least among those who post regularly on head-fi), believes that akin to the degradation of the foam suspension around a loud speaker over time (or a new pair of shoes), your headphones physically break-in, and that the sound changes (hopefully for the better), for the first couple of hundred hours after you take them out of the box.
Trusting in the general objectivity of my senses (perhaps a foolish belief - but if you read enough Hume, Reid, and Wittgenstein, you may conclude there is little alternative), I lean towards the latter group, although I can appreciate the reasoning of the burn-in deniers.