Great responses all. The Senn 580's may be a budget champ for many a folks' tastes. And it gets even better with aftermarket replacement cords (Cardas, Stefan Audio Arts, Zu, Moon Audio, Clou, Jan Meier, etc etc).
Regarding the "in your head" thing, sometimes crossfeed circuits can help with this. I personally have never heard one, so I can't say for sure how well they work. But some of the DIY's, Headroom's, Meier's, and more have this standard or as an option. But this is a good overall point: you give up certain speaker/room type of sound, but gain some detail and purity (IMO) with headphone listening in general.
Classicjazz: I also have an XP-7. I use it in my bedroom with closed phones (Sony CD-3000's or AT A900's) so as not to bother the better half. Wmcmanus: $500 is the cost of the unit battery-powered; the AC power supply adds another $200.
I also give a vote for the Senn 650; I use it (and a soon-to-come AKG K-1000) with an Audio-Valve RKV Mk II in the "main" system.
Dang, I love this stuff ! :-)
Todd.