If you share a space with roommates or family, there's a good chance a pair of good headphones can come in handy. When co-habitating headphones are useful at keeping the peace when one person wants to watch TV or play games, while the other wants to get some rest. Here are a few tips when you want to upgrade from a big box, big brand model to higher quality specialty headphones
1. Price: Unlike hi-fi speakers, you'll discover upper tier headphones are a more affordable purchase. Sure, if you've got money to burn, you can spend $5,000+, but most pro-model headphones will cost you between $250 up to $1,500.
2. Brands: If you're willing to invest in some higher-priced cans, here are some of recommended manufacturers: Sennheiser, Grado, Beyerdynamic, Audeze, and Audio-Technica.
3. Choosing the Right One: When it comes to high-end headphones, a determining factor for purchasing is intended use. Are you going to mainly watch movies or listen to music? If you are going to listen to music, what kind? Classical or electronic? Headphones are often engineered and optimized for a certain listening experience. I discovered once I began listening to music with headphones, I found it difficult to go back, especially when compared to standard computer speakers. I personally use Sennheiser HD800's, just beating out the Grado PS1000.
4. Headphone Amp: Hi-fi headphones perform best when partnered with a headphone amp. Without one, you'll find that most of the time the source volume might be too low. That's where headphone amps come in. You can find some starting at $200 going up to $3,000 and more, depending on features/power.
5. Going Mobile: Unless you purchase something like the V-Moda VAMP Analog Converter/Headphone Amp Case for iPhone, it's probably best to leave your high-priced headphones at home. They can be easily damaged and are ideally suited for home-use. Consider purchasing cheaper travel models, which won't make you shed a tear if stolen, lost, or damaged.
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(Images: Anthony Nguyen, Flickr member Noelas licensed for use under Creative Commons, and Flickr member Tai-Hua Lu licensed for use under Creative Commons)

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I listen to a lot of classical and went for a detailed and analytical open ear AKG 701 ($250-$300). I compared it to a short listening session on a Sennheiser 650 which was too unrealistic sounding to my ears, a little base heavy as well. The AKG's hurt the top of my head after about 30 minutes so I have to take breaks. I opted for a Headroom headphone amp and DAC which totaled between $500 and $600 and were not worth it. I'd have to spend a lot more to hear significant improvement, I think.
The AKG's are quite bulky and can be uncomfortable, especially for listening to for long periods. The HD650's refract sound waves so that you have great instrument separation, so that may be why the music doesn't sound realistic. If you still can return them for a better pair, might I suggest the Beyerdynamic DT990's? They seem to be the right combination of classical music-friendly and comfortable to wear. I have a closer look at them here, if you're interested:
The Classical Music Friendly Headphones
I love the fit of the AKG K701s, so I think fit is user specific. I use them with a DACMagic and Heed headphone amp. I also like the Shure SRH 940s that have the analytic sound of the AKGs, but are closed, so less outside sound gets in.
I've had my HD650s for a couple of years and have never been quite as blown away by them as I had hoped. They are very detailed, but somehow a little dull sounding. The whole experience of using the doesn't encourage me to put them on. Their bulkiness isn't rewarded by an epic sound. By contrast I've been utterly impressed with the quality of my little desktop B&W MM-1s. Obviously they lack the privacy of headphones.
http://www.head-fi.org is a GREAT site too...