@saut: Just go to a store where they let you sample some headphones. There's a local one near my uni and they have a bunch of high-quality studio cans out for your hearing pleasure, with the option of bringing some CDs in. Just take in Still Life or something and start to understand how much more it can kick your ass on better gear.
@R0l0: 'Studio' or 'stereo monitor' headphones are pretty much designed to give you a flat response over the frequency spectrum. They're designed for you to be able to objectively hear a piece of music, or a sound (depends what you're doin with em) by giving you a sound that sounds the most true to the signal they are receiving, instead of colouring them with their own sound as most headphones tend to. Best example is how all those low-end pieces of crap are like 'oh yeah man, turbo-bass ultimate reflex system, buy me now'. The monitor cans don't pump bass or anything else... they just give you a representation of the signal that's hitting them. Not sure how well they work in terms of actually enjoying music, but I'm thinking they can't be too bad. I need to get myself a pair because I have to mix on a shitty Tascam DM system at uni.