I like being able to listen to music late at night so headphones are compulsory. Last year I got some really nice headphones; a pair of Grado SR60s (
www.gradolabs.com). Expensive but worth it.
When I first plugged them into a good amp, I listened to an album that I thought I knew well. Lo and behold I found a whole hidden bassline that I'd never noticed before, sooo detailed. They're open at the back so they do leak noise (price you pay for the good sound quality).
In terms of price to quality ratio, you get more bang for the buck from a good pair of headphones than from a comparatively good pair of speakers.