The number one rule to understand when embarking on your headphone-search journey is to understand that there is no one headphone to rule them all. Like automobiles, headphones are made for different purposes. You have the supercars, roadsters, SUVs, 4x4s, sedans, to the compacts, and you chose what’s best for your day to day needs. There is no one car that can tackle snow and win races on the drag strip. The sooner you understand this fact, the more money you will save.
A: What you plug your headphones into can significantly affect their sound, and the quality of the amplifiers built into portable CD/MP3 players is generally awful. It's not their fault: the little guys have to power their electronics and their internal amplifier using a few puny volts. Even some of the better home AV receivers' headphone jacks offer highly variable sound quality.
I already own a few headphones, namely the Audio-Technica ATH-Pro500MK2, ATH-T500, Sennheiser PX 100 II & PX 200 II, and the Philips Downtown and Uptown (Rule #3). I’m thinking of adding a new one and I can’t decide between the Beats Solo 2, Grado SR80e, and Sony MDR-10RC (budget constraints). I listen mostly Pop/Rock and Classical music and I have a cheap (Fiio E06) headphone amplifier.