every speaker (speakers, headphones, earphones, etc.) all have a different response curve. Most popular audio equipment boosts the bass for music and games. Most Home theater equipment accentuates the bass and treble for explosions and dialogue clarity.
'Pro' equipment tries to be as flat as possible, meaning that whatever was recorded is what you hear. People are often disappointed by pro equipment because they expect a lot of bass or other richness enhancements found in consumer equipment. To be honest, it takes some getting use to. But once you are use to pro headsets it is extremely difficult to go back. Some of the emotion and character found in consumer equipment is lost, but the clarity and minute details which can be heard in pro headphones is addictive, and once you get use to listening to it you quickly realize that it is gone when you use other equipment.
Personally I use some decent closed over-ear Sennheiser headphones. These are very much entry level pro headphones, but for what I do they are a nice blend as they are pretty flat, but still have a little bit of a warm tone to them which I like because it accentuates most of the music that I listen to. If I had money then I would get some higher end headphones, or perhaps a reference stereo set, but as it is these do the trick.
If you want a decent software package without investing a lot of money in hardware then look into Creative xFi MB2 or MB3. This uses your CPU as a software codec solution to bring much better quality audio on a system that does not (or can not) have a dedicated sound card. You are still going to be limited by what your device can actuially output, but I have been pretty impressed with just about everything I have run it on. Currently not using it on my desktop because MB2 that I had was very limited on the bitrate output available for optical audio out to my receiver, so I just got an Audigy 2 card from work which brings a little better quality.