in my opinion, and in the opinion of many other music freaks, NOTHING beats a Hi-Fi Headphone system.
listening to my music, I feel as is I am part of the music, not just someone listening to it. the sound is 360dergrees around you, not just comming from different directions. Finaly, this is a perfect way to get incredible music (loud if you wish) without bothering people in your house or neighbours.
if you got around 500-1000$ lying around, and would like to increase your music listening experience, I would recommend for you to get a kickass headphone setup (to be used on your computer or on standalone mp3/cd players)
here is a great site that would answer alot of your headphone/cable/amplifier/source questions:
www.headphone.com
and here is a forum where you can read personal reviews about components and so on:
www.head-fi.org
here is my setup, and I absolutely LOVE it
Sound Blaster Audigy2 ZS
Sennheiser HD600 headphones
Cardas headphone upgrade cables
and a custom built amplifier
total cost :
HD600: 300
Cardas Cables: 150
Sound Card: 150
Amplifier: 150
= 750$
if anybody has questions about headphones and such, please don't hesitate to contact me