Since it's clear that headphones are the "gateway drug" for the next generation of audiophiles, let's look at how listening through headphones differs from listening to room-based speaker system.
Headphones are more intimate and personal than speakers.
Since in most cases the membrane is only a few millimeters from your eardrum it's no wonder that earbuds or earphones have a very intimate quality to their sound. For some listeners earphones can offer a more emotionally involving experience than any speaker, regardless of price.
Headphones deliver more information than speakers.
Headphones have the advantage over speakers since their operational parameters insure that they will always be in an environment with an inherently lower noise floor. 30 to 35 dB outside noise attenuation is a pretty standard specification for in-ear phones, which in most normal environments, guarantee a silent background.
Headphones image differently than speakers.
Despite many attempts at moving the sound of earphones out of inside your head (the only one I've heard work successfully for me was the Smyth Research system), headphones deliver a different spatial experience than speakers. It's not that earphones don't image, but the way they image is not at all like what a speaker can do. With some training, you can differentiate locational cues through earphones, but it does require more effort than listening through speakers.
Headphones have bass, but...
Sure, a good headphone has bass. But unlike a speaker, the bass through headphones doesn't have the same impact on your body. The bone conduction through your sternum that a 15" driver can deliver is absent. And no amount of pumping up the volume is going to change this.
Headphones are less social than speakers.
Obviously it's harder to carry on a conversation with someone wearing earphones. And for many younger earphone users this lack of easy communication may be one of headphones' main draws. But this isolation makes it harder to interact with the outside world, which is why biking with headphones on public streets is such a BAD idea.