I think it totally depends on application and your surroundings.
Headphones are far cheaper than a comparable speaker setup. I've been told by some sound engineers that you don't need to spend more than 30 bucks on headphones even for mastering audio. Anything more than that and you are probably just paying for a marketing budget. And if you live in an apartment/dorm or share a house, you're speakers are mostly going to be sitting unused anyway (buddy of mine in his dorm can hardly use his promedias). For a single user in a densely populated area, headphones are usually put to their best use.
I don't know where 3d positional audio is at in headphones, I know that sense you only have two ears anyway you should be able to get full positional audio if its processed correctly, but in any case there is really a lot to gain with real 3D audio and you might not get that with stereo headphones. Also, if you've been known to play games for many hours on end (cough) your ears can get pretty sore.
I think the biggest drawback to headphones as that it limits the audio to one listener, which sucks if you have guests over and want to play music, watch a movie, or play games together. They also limit your mobility quite a bit.