For me, it's headphones all the way. I don't even have any speaker systems connected to my computers.
The reasons?
-I don't want to disturb everyone else in the house with my music preferences or loud game noises. Even open-back headphones generally won't leak sound outside of the room they're in.
-Binaural HRTF-based mixing is so superior to a typical 5.1/7.1 speaker setup for positioning it's almost unbelievable. Better yet, I don't have to sit in a particular sweet spot to get the effect-just put on a pair of headphones, and off I go. Learning about CMSS-3D Headphone (and Aureal A3D for certain older games) killed my interest in speakers more than anything else.
-Headphones are expensive, especially when you develop a preference for Stax of all things, but speakers are even more expensive when you factor in the room. No room in my house is shaped perfectly for theater purposes, let alone acoustically treated. I'm sure people spend tens of thousands just to build the perfect room for their speakers to reside in.