Vintage worth the time to explore?

If you really want warm sound at any volume, you should be looking at the 6L6 or EL34 based vintage tube gear. Heathkits, Eicos, Marantz 8, Dynacos. They obviously need to have been restored for safe use. But the good news is these point-to-point tube amps are generally easier to maintain in the long run. 

Why not open back headphones like Grado’s for when you want to play it loud? If you don’t want to try that, And I also second:

I find Grados to be very fatiguing and hard on my hearing at loud volumes. The dynamic drivers are right on top of your ears with their inevitable peaks and resonances (due to the simple cup design and driver mounting) that can cause damage at higher SPL. They do have a very exciting sound to them, but I can't listen long. Their PS500e (now discontinued) is probably my favorite of the lot without going back to the long OOP HP1000 series. Stax headphones are by far the easiest on my ears at loud volumes (same relative SPL) BUT the wrinkle is it’s hard for their dedicated amps to drive them to loud volumes. The Lambda-series Stax are easier to drive than Omega-class Stax, so they’re an excellent choice for starting out in Stax. Alternatively, get an old Stax step-down transformer box (e.g. SRD-7 Pro) that will allow Stax to be run off a normal stereo amplifier. There are also some newer alternatives for adapter boxes, but I’m not sure if they’re good. Even the old 1984 Stax Lambda Pro (or older yet - 1979’s Stax Lambda "Normal bias") still sounds AMAZING by today’s standards.

If you can stretch it the ES Lab ES-R10 (dynamic headphone and a surprisingly good replica of the legendary Sony MDR-R10) has an amazing balance of sound quality, being easy on the ears, and being easy as hell to drive, but they’re not cheap and they’re a limited run that’s about to dry up.