Through headphones? That's a fairly tough question actually. I've found that anything by M83 sounds great through headphones, you can't deny how good Pink Floyd sounds through them either. Throw on a pair of headphones for anything by Yo La Tengo though, and you'll be in bliss. Especially anything such as Night Falls on Hoboken, or their more melodic music. That's where I lose myself.
Yo La Tengo is amaaaazing. Ira isn't aware of the world on the stage. I'm going to see them in a few months, and I can't help but tell everyone I know how I excited I am. It's really incredible how much depth they play such a wide variety of music with- they've opened me up to so many different genres. Their noise stuff is especially good for headphones, for Ira's noises. http://www.youtube.com/watch?v=gYF4wbyrNyY live, but still wouldn't listen to this without running to find my headphones.
They've done so much, their music career has been prolific to say the least. Are you seeing them when they open for Belle & Sebastian? If so, I'm planning on going to one of those dates too!