1. AKG K701
2. Sennheiser HD580s
3. ATH Ad700s
4. ATH M50s
5. Etymotic ER-4P in ear monitors
6. Grado SR-60s
7. Realistic HP-100 Electrostatic vintage headphones
8. A few other cheap headphones laying around.
In reality, the main reason I have a few pairs, is that they have different sound signatures and can be used in different situations. My favorite pair of headphones has been the AKG K701s with a Cambridge DACMagic and a Heed Canamp headphone amp. The whole system is important because AKGs and Heed go together like peanut butter and chocolate. However, if you put peanut butter and mustard together, it might not be as pleasing. The same with the AKGs. You plug them directly into an iPhone and you will be left wondering why anyone likes them.
I have read reviews of the SRH-940s that compare them favorably to the AKGs. However, the added benefit of the SRH-940s is that they do not need an amp to sound good and they are closed headphones. This means they let in and out less sound than the open backed AKGs. Also, they will have a more narrow soundstage than the AKGs. Some people like the large soundstage and some hate it. However, with the Shures, the soundstage is smaller, but it is really good for a closed headphone. I doubt anyone will complain about it, even if it is a bit more narrow than the K701s.
The SRH-940 headphones are extremely revealing, so if you have music that sounds screechy or metallic, chances are, your ears will not forgive you if you listen with these headphones. I have a pair of Senn HD580s that have a warm sonic signature where the highs seem to roll off and because of the fullness and accentuation of bass, you often lose detail. As a result, they sound better with poor source material.
The Shures, on the other hand, are accurate with no roll off and no accentuation on bass. Therefore, if you listen right out of an iPhone, you may want to be sure you listen to albums you know are not 64kbps rips of horribly recorded music. The Shures, like the AKGs, often get criticized for being bass light. Not sure if it is true, but they are definitely not bass enhanced like you have on many cheap headphones or more expensive headphones that are named after rap stars.
So the main consideration is what type of music you have in your collection. If you have highly compressed music and/or horribly recorded music that you listen to right out of an mp3 player, you might be better off with something else.
I should mention that I tried these with most of my desk amps. I find them to have too much noise with the Heed for some reason and I much preferred the AKGs in this setup. However, I also tried them with a Little Dot MKIII amp and they sounded much more liquid and the bass was more emphasized. You still get tons of detail, but the source audio files becomes less important. Finally, I tried them with an X-Can V3 headphone amp and it provides added oomph to the bass and takes some of the harshness off the more compressed sources. If this were a three bears rating system, I would rank them accordingly:
1. Without an amp with iPhone - cold
2. LD MHIII - warm
3. X-can V3 - just right
Of course, depending on the source and your tastes, you might prefer warm or cold. Which is why I am in love with these headphones, the extreme detail plus certain amps give you the ability to tailor the sound to your tastes. Not sure they will ever be your favorite if you like bass boosted sound, but for everyone else, I highly recommend these headphones.
PS I wanted to mention that these headphones come with two cables that you can use. I read a MacLife review yesterday that complained about the long coiled cord, but for situations that you do not need a coiled, expandable cord, you can just use the 8.2 foot straight cable. Just wrap up the excess cable you don't need.