Headphones vs loudspeakers

Could you tell why headphones sound better than loudspeakers in general? When listening to music through headphones you hear more details, more ambiance and at the same time the sound is more pure than through loudspeakers. It's also as if you can listen to inferior CD-player without sacrificing much of the sound quality. Even with an excellent audio system the sound has less immediacy and is not so detailed as with headphones. What is the problem with audio systems? Are we dealing with psychoacoustics or...?

Chris