I am somewhat of an audiophile (sound engineer for various bands, musician, etc) and have really come to love a few different headphones for different reasons.
Right now I have a small array of headphones:
While mixing for bands I use AKG K171's
While walking around town, I use my AKG Q460's
At the gym I use Bose Triport In Ears (forget the model #)
At work (in the office) I use my Q460's, but plan to upgrade eventually to Audeze or Ultrasones.
At work (at home) I use my AKG Q701's.
There is a lot of variation in the sound, but my philosophy is this: 1) general listening, use any over-ear, closed-back phones that sound good with an iPod. 2) Mixing, you need something with great isolation, but never buy "noise-cancelling". 3) If you're alone and don't want to bother neighbors, a good pair of open-back cans will give you amazing sound and a ridiculous sound stage. 4) Gym, just something comfortable and decent sounding. 5) At the office, good sound, closed back for minimal bleed.
Keep in mind for many of the higher end cans you'll need a good amp and DAC to get the most out of them.