Are Headphone amps worth the expense?

If it sounds better than what your currently hearing, than yes. Otherwise no.

Sorry for the smart-aleck answer, but as with all things audio, any component, even expensive ones, can be better or worse than whatever you currently have. My headphone systems sound much better than most speaker systems I've heard, but I've spent many years getting my headphone systems to the level they are at. And to me, a tubed headphone amp is indispensible.

Oh, and you'd do better to look on head-fi for headphone info.

I would get a headphone amp on trial for comparison. Grados are easy to drive and it's possible you will not hear a worth-your-money difference. Your dealer should be able to help you with hook up.

Are you into DIY?

Try building a CMOY headphone amp. Strictly low cost and fun. The good news is you can than 'roll opamps' and test the different ones available.

I use OPA2134s as a good compromise.

Very good amp when properly built. Not as good as the 'best' but no more than 5% of the cost.

http://tangentsoft.net/audio/cmoy-tutorial/