Why do headphones sound so good...

There's no room to distort the sound on its way to your ears.. That really does a lot!

Other than that, phones are much cheaper to produce (but not necessarily simpler). To get the best out of a good pair of phones you still need a high quality source, amplification and great cabling however. When you do have that though, they're hard to beat. :)

No, the truth is there are no room bonderies or reflextions off walls and furniture that impeds sound reproduction from sounding its best. But not all of us are comfortable with this type of listening, but if you are enjoy.

1) Less air to move
2) Less air to move
3) Less air to move
4) No room acoustics to affect sound

I strongly question your presumption, that they do indeed sound better. I've had both (AKG k1000, Senn HD650, etc.) and a few speaker systems. There's no way headphones can replace a speaker system. Headphones are good for not waking up your neighbors or roommates. That's it.

I have found that headphones sound different, not always better. Since you do not have to deal with room acoustics, it is easier to design a good set of full range headphones. These are easier to drive and do not have the amplification requirements of speakers as well. Most people do not give speakers enough power. Meshing the speakers with a sub is another difficult task.
For what it's worth, I love my headphone setup. There are so many things it excels at. I still find myself listening to speakers more than headphones. The stereo separation in headphones can be unnatural on many recordings, and you don't get the full experience where you feel the music as well. It makes a bit of difference. Hard to describe.
Of course to get a speaker setup on par with a good headphone setup, costs about 5-10X as much.