The Bleeding has a point.

However, I have run into this problem as well. I just need to play through headphones at the place where I live. For practise I have to 4x12's but that just won't fly in the appartment block where I live. I use a Soldano preamp with headphones.

After a lot of testing I decided on AKG K701 reference headphones. Pricey but worth every penny, excellent sound and a lot of comfort. Plus if you're an audiophile you will love these as well for regular music.

Be warned though: they have a very neutral sound and will expose all the weak spots of your amp.