Note: The following itemizations are only my opinion, based on known data(and to a lesser extent, personal experiences).
Speaker Pros
-Offer potential to sound realistic in every sense(spatial, tone, bone conduction, etc.), though only in ideal environment/equipment/recordings. I suspect that most people(including those that consider themselves audiophiles) have not had the pleasure to experience a system that is percieved as realistic in all sections listed above.
-Do not require ear and/or headmounted hardware.
-Bone conduction lead to visceral impact.
Speaker Cons
-Not portable.
-The most realistic sounding speakers are harder to enjoy - once you are accustomed to a realistic playback, even the slightest background noises in the environment that conflict with that is on recording, spatially, can make it difficult to enjoy playback(example: quiet passage of classic piece is distracted if an a.c. is heard or a loud truck/car passes and is heard through wall(s);basicly once a level of perceptual realsim is met, the illusion is fragile and easily shattered if sounds with different spatial characterisic impede the performance(wall resonanting due to the glass-packed Harley bike that just revved past your house).
-Cost is high
-Inconsistent performance: Even the finest speakers offer extreme variations in performance realtive to the environment(room), acoustic treatments and placement.
Headphone Pros
-Portable(well, most).
-Intimate effect not possible with speaker playback.
-Consistent performance
-Absence of room effects results in audible artifacts and/or details that are difficult to identify with speaker playback.
-Relative low cost.
Headphone Cons
-Level of realism possible on best examples of speakers not possible on any current consumer headphone system(even in event of proper binaural - due to inability to change relative posistion when tilting/rotating head and no bone conduction).
-Requirement to have hardware attached to head and/or ears.
-Chris