I chose all of the above, but there are more. In no particular order:
1) I'm a college student, so I really don't want to disturb my roommate (or anybody else within earshot) at 2 am because I'm in the mood for some metal. \m/
2) Being a college student, I've already spent more money than I should have on headphones and an amp that sound really amazing, but would have had to spend much more for a stereo setup that would compare. Not to mention that it would be really difficult to move that system out once school's finished!
3) My dad has a really impressive stereo setup at home that he spent many, many years on. It really does sound incredible, almost exactly like you're there in the studio or concert hall with the performers. It never ceases to amaze me. All of the work he had put into speaker placement, acoustic damping, cabling, a special room just for his stereo, etc. just doesn't quite appeal to me. It is a truly wonderful sounding system, however, and I certainly could appreciate owning one just like it someday. Besides, that house got LOUD any time he wanted to enjoy some tunes, and I know exactly what it's like to be on the receiving end of all those unnecessary decibels. It sometimes got a bit difficult to find a quiet place to sleep on Saturday mornings! (goto reason #1)
4) Headphones are accessible and convenient, and I can easily choose different sounds based on my musical mood. They are also portable and don't take up much room, so it's easier to take 'em with me. It's also nice that they don't take up much space, so I can own several sets of cans and enjoy them all!