Willtravel:
Yes, in theory more power = more headroom. Approximately 3dB for every doubling of power. That doesnt mean that going from a 100W amp to a 200W amp will equate to a 3dB gain in 'headroom'. For a 100W amp to have 3dB of dynamic headroom it must be able to deliver 3dB more power over a given level (variable X). Many quality amplifiers rated at 100W per channel can deliver double their rated power for short periods of time - thus having a higher dynamic headroom.
My advice to classical listeners is simple - buy as much 'quality' power as you can afford. I have never heard anyone tell me they have to much power