For portable devices, and about $20, I use http://www.headphone.com/selection-g...oss-ksc-75.php they are amazing!
Through my desktop or any other source (I use a 12AX7 tube digital to analog converter) I prefer the Grado 225i http://www.amazon.com/Grado-Prestige.../dp/B0006GCCN6
They are expensive, about $200, and worth every damn penny. With these, it was like having a black and white 1950's TV and upgrading to a high end 1080 HD color LCD. Best $200 I have ever spent.
Edit: I have tried several of Sennheiser's mid range (200-300 US) and I have always gone back to my Grado 225... They are an around the ear headset, but are open unlike Sennheiser's closed style. You make more noise to those around you, but the bass is 100X better, highs 100X clearer and cleaner. I have played in bands for 15+ years (bass and guitar), listening to music with these is like being center stage front row.