My favourite was listening through my reasonably high end studio monitors, but they've been broken recently so it's been down to my headphones. After six months of near continuous headphone use for both composing and listening, they just don't quite cut it. Even though they're a £150 pair of great headphone that I love. You lose the stereo field. The music feels to much like it's being injected into your head. You don't get as solid a low end presence (my monitors had 8 inch woofers in). I can't get up and listen as easily. My monitors just sounded too good for any somewhat affordable headphones to truly compare. The ideal scenario is having both.
What headphones are you using? It's not impossible to get the same sense of space in a pair of headphones that you do with speakers. A lot of open headphones do that pretty successfully. you say "somewhat affordable," which is subjective obviously so i'm not sure what you consider to be beyond affordable. It's also interesting that you mention low end presence... I'd argue that headphones accomplish good bass marginally easier than speakers do. An 8 inch driver will push more air of course, but a smaller one right next to your ear can deliver some pretty serious oomph. I do like listening to speakers. Especially for professional releases, it's important to know how the instruments in a track fit in a physical room. In general though i find headphones to offer more detail and immersion, and that's what i prefer. Both headphones and speakers is probably ideal. But man, the ones i'm listening to right now have a soundstage on their own that is pretty damn impressive. I wish i could somehow send an aural sensation to you in a hubski comment.
I usually use headphones because they are convenient and I don't have a good stereo system but, I love how you can feel the bass in your body with a stereo as opposed to just in your head.
The headphones I'm using are Audio-Technica ATH-M50s, quite well regarded. I bought them for about £135 two years or so ago. Don't get me wrong, like you say the bass ouput is not to be sniffed at. However, there's still no getting around the sub bass presence that a larger speaker can deliver. I'd also argue that the detail my studio monitors output was above what my headphones could deliver. But they were £350 more expensive so you'd expect that I guess; I'd relish being able to listen on some Audeze LCD-3 headphones for comparison. Like I said, a combination is best. Headphones pick up things monitors might not, and vice versa. However, ultimately I'd choose speakers because I find it a more natural listening experience. Saying that, I'm not sure much can top long train journeys through beautiful landscapes with a good pair of headphones.
Those are great cans! I recommend them all the time. However, I'm not at all surprised that you're disappointed in headphones' versatility if that's what you're using for producing and casual listening. The v-shaped frequency response can be really tiresome and the ath-m50s have a mid bass bump that makes mixing a lot harder than it should be. When you have the chance, I think you should get a nice pair of open headphones for comparison. No need to go all out on LCD-3s (maybe one day =)), something like sennheiser hd600 or hd650s would be really refreshing, I think.
OtterSlick also pointed out that the sub bass presence in speakers is capable of consuming your whole body rather than just your face. Speakers can make you feel like you're at a show watching a band perform, and headphones can't physically produce that feeling. Some do a pretty good job at giving the illusion that they can, though.