who makes a good set of headphones

I'm in the market to buy a new set of headphones for my stereo system and would like some advice. I have been looking at the Grado 125, 225, 325's. I've heard they are pretty good. I am willing to spend $300-400. My other question concerns headphone amps? Are they necessary, and do they improve the sound just marginally or greatly. Any advice would be appreciated.
Try a search of the archives here at Audiogon, which you can access by clicking on "more chat" at the bottom of the "forum topics". Several sites are devoted to headphone discussions, the best of which (in my opinion) is at www.head-fi.org

As with all things audio, it all depends on what you are looking for but there are several great sets of cans in your price range. Sennheiser HD600's are great for about $219 new here on Audiogon. Etymotic ER-4S or 4P earphones are fantastic for portable use ($269 new). Sony CD3000 is another well regarded product these days, for about $349 new on Ebay. There are many more, including electrostats such as Stax.

Headphone amps do make a big difference. Some great buys in the tube area are the Antique Sound Labs MG Head OTL for $349 new and the David Berning micro-ZOTL for $750 new. Both provide great opportunities for tube rolling and there are some very detailed threads at head-fi.org concerning each. For solid state, there are tons of choices. For the Senn 600's the Creek OBH11-SE works really well for about $280 new, and sometimes much less used here at Audiogon. A couple of the DIY'ers at head-fi make some amazing portable amps for dirt cheap (the META42 can be had for less than $200 and the CHA47 for about $75). Up the scale, there is the Sugden Headmaster for $850 new which can double as a nice preamp for your home system. Lots of choices. I'm just skimming the surface to get you started.
As far as your source, you will be much better off using your regular CD player (whatever you use at home) rather a portable CD player, but there are some good pcdp's if you want to go this route. Panasonic SL-CT 470 or 570 are good examples for about $120 if you can find them (both are out of production) because they have excellent line out sections. Sony D-EJ01 for about $200 new is a popular front loading pcdp (like the way your car CD player grabs your CD).

Also try www.headphone.com which is the cite for HeadRoom (a good brand of portable amps) for their very helpful guide to people getting started out with headphones (it's organized by the possible uses of headphones and that should help you to narrow your search).

Hope this helps.
I personally have liked Grado headphones. I have owned the RS-1's and RA-1, SR-325's and SR-80's for portable use. I have also owned Sennheiser HD-600. All excellent headphones. In my experience you can get away without an amp with Grados as they are quite easy to drive but not so with the Sennheisers. I'd recommend the amp though if you really want to hear any headphones at their best. Among the choices you mentioned I think your choice will depend also on the type of music you listen to. The aluminum sound chamber on the 325's does sound quite different than the plastic of the less expensive models. If you listen to classical I'd suggest you go to the RS-2 (I think you can get them used in this price range) as the mohogany sounds better, at least to me, with "acoustic" music. If your budget includes the amp then go cheaper, get and amp then change the 'phones later.
Suggest you also visit headwize.com. Use the search engines at these sites to limit the amount of time you spend. You can spend days researching this and will not find any clear consensus except that Grado's and Sennheiser's are good headphones. Headphones are a very personal choice because not only sound quality, but comfort matters and everybody's heads and ears are different. Sennheiser's are more difficult to drive and usually need a headphone amp, probably with tubes or from Headroom to sound their best. While most headphone amps sound better than the jacks on most tape decks and cd players, I have gotten very good results using the headphone jack from an NAD receiver.
I use Grado RS-2 and Ultrasone HFI-600 headphones.
Their are a lot of reviews and comments on available on the Grado's. Their lower priced 'phones are great values and the higher priced ones are a little more detailed and richer sounding. Many people don't like the way Grados feel on their ears, but you may want to try the "comfy" ear pads before giving up on them.
The Ultrasone's are a German headphone aimed primarily at the pro audio market and are not well known. They are smoother, more spacious and more refined than Grado's or Sennheiser's but are not quite as detailed and sound laid back in comparison.
Grados are excellent headphones but wearing them and keeping them on the head for a long time is a hell of a pain.
Senheiser HD-600 are not close to the quality of sound to the RS1 but great to wear and great value.

Stax is the world ear standard that designes great headphone with their own drivers and to me I believe that Stax combines the comfort of Senns and quality of Grados.

I have a combo Stax Lambda with Stax SRM1 headphone driver that plugs in to either tape output of the preamp or any line output of the source.

Through the headphones you can even more hear the small-tiny differences and noises. When I listen to the records through the headphones I specifically and thoroughly clean them with VPI before spinning. Anything imperfect can be opened through the headphones and that's why a dedicated headphone amp is important or a dedicated high quality built-in unit can also be helpful.

Very often for the headphone output manufacturers just place the matching transformer from the basic preamp circuit to go cheap and this solution drives listeners off getting onto headphone systems due to the high level of noise and distortions of transfered signal. Many preamps or sources with built-in headphone output can't handle high impedance headphones such as Sennheiser HD600. Grados are low-impedance headphones that can probably perform OK with built-in outs but having their dedicated headphone amp you can gradually hear a bunch of differences. Grado headphone amp at the same time absolutely helpless to drive Senns. That is sought in volume control when you realy don't understand which volume position where you can have a full range without even speaking of music huh...

So headphones with the matched headphone amp can give you and will certainly give you more defined and holographic music than any any speakers.
I have a Musical Fidelity tube headphone amp with Grade sr 125 headphones. sounds very, very good; so good I wonder why I have these big speakers and amps sitting here since I am the only one that usually listens to the stuff.
MF Can ver2 amp and Sendheiser 600 headphones sound very very sweet. I changed the tubes to Amperex and it sounds even better.
if you need isolation buy the ety's, otherwise buy the $69 Grado's and start saving for the Grado RS-1's or the Stax. you will never regret it and the $69 Grado's are fantastic and will easily get you by while you save.
if you listen to much rock n roll the Stax may not do it for you. if I listened to mostly classical and/or acoustic jazz I'd have the Lambda's.

I've owned Grado 125'S, 225's and 325's but I swear the RS's blow the rest away by so great a margin that they are worth waiting for. the $69 grados are 85% as good as the more expensive models until you reach the rs-2's. then it's a leap!

I've used a lotta great headphone amps but believe that the 1st thing to do is to get killer phones. the grado's will blow you away even without an amp - even the $69 ones. then you can improve your source and amplification til the cows come home. have fun!
akg1000 are the best dynamic headphones.I also have grado rs-1 that I have used wth the cary 300sei.However the akg1000 is much better.The akg1000 have a wonderful organic sound with ahuge soundstage.The headroom web site is great resource for headphones...check it out.
All of the 'phones mentioned are of grat quality, I just would like to add that not only the sound, but also comfort is very important, so IMHO buying online would not be adviseable...