For a while I was really into headphones and built up a nice collection including LCD4, Sennheiser HD800, Sony MDR-Z1R, AKG K812, and a number of others.
I used the headphones a lot in my small two channel system in my computer room because the wall is kind of close to a neighbor's house and I didn't want to bother them. I found a pair of Harbeth P3ESR speakers and set them up nearfield. It's similar to headphones, but you get more soundstage and they don't carry too far. Since then, the headphones rarely get used.
Once my two channel stereo system reached a certain point, the headphones just weren't attractive anymore, and I rarely use them. When I do, it's usually at bedtime, and it's the $200 Sennheiser HD6XX due to their comfort.
You don't have to wear speakers, and as many others have mentioned, they are much more "lifelike". Headphones present music in a way that is much different than how we hear live music.
Headphones on the other hand are more affordable and if you like to change up the sound, it's a lot easier to grab a different set of headphones than to store a bunch of speakers and move those in and out of your system (trust me, I know). Every set of headphones I own has a distinctly different sound and I may enjoy one pair with a certain type of music, or want to wear another pair because of their comfort, or use closed back ones if I want to keep most of the sound from getting out... it's a lot easier to have options with headphones.
If you want to try some out, I suggest picking up a pair of the Sennheiser HD6XX. You can tweak them relatively inexpensively. I'd look into earcups and a balanced cable. Good amplification is important, the headphone out on most devices is crap and won't show the true potential of what your headphones can do. If you'd like to get a taste of the Focal sound without dropping a ton of money, try the Elex.
It's nice to have some good headphones when you need them. Some people prefer that in your head sound and the detail that you can get with headphones. I really enjoy a big soundstage and the imaging that you get with speakers, so it's hard for me to give that up.