Headphones are the way to go, without a doubt. I like the Sennheiser HD600s ($350) or the HD650s ($450) and the Pro-Ject Headbox SEII ($300) amp. Then get yourself an iPod or a computer with a decent soundcard, anything that gives you a pure output, use lossless music files, and you will be stunned at how good it is.
I also have the N802 and those $350 headphones hold up really well against them.
I also have the N802 and those $350 headphones hold up really well against them.