Should I buy headphones?

I am considering buying headphones, such as the Sennheiser HD600. I would listen to them at home in two situations, when my wife is sleeping (I wake up earlier) and so I can listen louder than my wife prefers when she is home. My preamp, a Cary SLP-2002, has a built in headphone amp (or is it a headphone preamp?). I have not listened through headphones before, except on airplanes and with portable CD and cassette players.

I would appreciate comments regarding whether you listen to headphones at home very often, and the pros and cons of listening through headphones versus listening to floor standing speakers at a lower volume when the wife is home. Thanks.