If I had more room for speakers I would definitely have a primary speaker set up.  I listened to some CDs through my parents Sony integrated receiver and Paradigm bookshelfs a couple weeks ago.  This is not a high end setup but the soundstage put my headphone rig to shame.  Almost all aspects of the sound were lower quality, however it was very enjoyable to experience speaker presentation.  I have not "lost myself" in the music like that when listening to headphones.  With headphones, the fact that they are connected to my head stops me from being able to close my eyes and feel like I am there.  To a lot of audiophiles this is very important.  Maybe more important than any other factor.  I would guess that headphiles value the detail retrieval and more intimate presentation.

In the end I think it is more likely a combination of all those things you listed.  When I was younger I listened to headphones because I could carry them around with me and it was cheap (they came with my ipod  ).  Now I listen mostly in my apartment where I don't want a speaker system to annoy my neighbors when I am up until 2am listening to music.

I like how video games sound out of cans more than out of speakers. There is a sense of immediacy and surround sound unique to good headphones when gaming.

What is this, Head-Fi?

I do it all when I can. Prefer headphones for convenience, portability, isolation (for myself and others), etc.

I agree with Schitt, it depends on the room and what you can do with it. I've heard a variety of active studio monitors and passives in desktop nearfield setups, and to be honest most of the time it's not that impressive. The sound stage is rarely any better and can often be worse than a great pair of headphones. When you're sitting 3 feet from a pair of speakers that are 12" tall, the image they throw at you basically exists within that 12" height, and slightly to the outside edge of each speaker. Some are better at this than others, but there's certainly no feeling of "being there" from basically anything on a desk, even $3K/pr actives. It's like you're listening to a band through a tiny window.

Put those same 12" tall speakers on 28" stands, move back to about 8 feet from them, and pull them 8 feet apart from each other, and in a room with a little thought to acoustics the result is radically different, and to my ears, still untouchable by even $5K headphones. The little 3' x 1' window that you were listening through on desk can become the size of most of the front wall, and musicians take on lifelike size.

The idea that buying a high-end headphone setup saves you a boatload of cash vs. a high-end speaker setup is basically total bullshit. I've heard $5-10K Stax rigs (I also owned one for awhile) and I've heard plenty of $10K speaker rigs. Assuming some real thought went into the speaker rig, it's going to win.

For the price of a T1 or HD800, you can get some very nice monitors, particularly from the factory direct speaker builders, you don't even have to go DIY to get a good value. For the price of the SR-009 or Abyss, monitors are approaching state of the art, and large floor standers will still be very, very good.

You can get this guy for less than a new 009.