I am almost embarrassed to list all the headphone gear I have. This is from memory (really, the list is that long that I can't remember it all!):
1. 3 versions of Stax Headphones ("earspeakers"). One transistor, two tube with one having differential circuits and the other not.
2. Sennheiser (I think HD580) headphones.
3. Various in-ear from Shure to Eytmotics.
The Stax units are a revelation. They are not only accurate but so open and nice sounding it is hard to explain. Other than the headphone effect (sound being in the middle of your head rather than outside), I have not heard a room which matches it.
I work in my den until late hours which is next to our master bedroom where my wife is often sleeping. Headphones then allow me to enjoy music without disturbing others. And of course on the airplane there is no better substitute than an in-ear unit that blocks outside noise.
For professional work of analyzing audio distortion (e.g. audio compression), speakers are almost never used. Headphones rule and hence the reason I started collecting them. The level of detail you can detect simply cannot be matched with speakers.
As to losing your hearing, there is definite danger there. Then again, once you do damage them, then you can use the headphones, play them loud to compensate
.