I just think the sound is better, especially on my laptop, which doesn't have a great soundcard and often has a very noisy fan, so using headphones helps me hear all the instruments properly.
I was eating lunch the other day and there was this dumb group of women at the table next to me. One of them had just gotten an iPhone 3G and they were debating amongst themselves what "3G" meant and oh god I wanted to do horrible things until I put my headphones on.