I think the most important thing concerning headphones is comfort. No matter how great they sound if they're too heavy or don't fit well, you won't get the maximum enjoyment. My headphones fit me comfortably, I can listen to them for hours (I listen maybe 30% compared with speakers). I'd also suggest a quality headphone amp for the best performance.
@ghdprentice pretty much nailed it. With headphones you lose some soundstaging and the visceral feel of the sound on your skin but you'll likely hear more low level detail, channel gimmickry (good or bad) and they take out the room affect factor.