Headphones are a great way to enjoy music! I have a lot of headphone amps and about 12 sets of headphones. These range from a few in the $150 - $200 range like the Massdrop AKG 7XX, Sennheiser HD 6XX, and Fostex T-X0 to "flagship" headphones like Audeze LCD-4, Sony HD-800 and Sony MDR-Z1R and a number in-between.
In general, I listen through speakers much more often, but I often wear them to bed and fall asleep listening to music and there are times where I either don't want to disturb anyone or want to really get into the music's details.
As someone else said, it's like having a lot of different speakers at your disposal. They all have their unique sound signatures and equally important, comfort levels.