Before we begin, it's important to know that headphones are nothing but an aid in a mastering situation. For multiple reasons, it's utterly unrealistic to try to work with headphones alone. First of all, listening on headphones will not do justice to the stereo image of a song, given that the sounds on the left channel will never reach the right ear and vice versa.
Second, it is very hard to become fully aware of the real impact of dynamics with headphones, regardless of their quality. The sensation of power has a lot to do with the movement of air produced by speakers in a room, which is reduced to the minimum when the speakers are right next to your ears. Think about those fat lows that you can feel all the way to your bones when you're listening on speakers — you don't experience them the same way when monitoring on headphones.
Finally, EQing will never sound the same on headphones as with speakers due to the natural filters in your environment, like the room itself, your body, your head, and even your ears.
So, in short, a good job with a good set of speakers is very likely to sound fine on headphones, while an excellent job on the best headphones will not necessarily sound good on speakers
That said, headphones can be very useful in a "home mastering" situation. In fact, an excellent pair of headphones will always be less expensive than a good set of speakers and adequate acoustic treatment for your room. Thus, it is worth considering using headphones as a way to compensate for the defects of your speakers and/or your place of work, as long as you always heed the warnings stated above.
But what good can listening on headphones be with all those defects? For starters, if your headphones go deeper than your speakers, they will allow you to check the tonal balance in the low end. Headphones will certainly not render as faithfully the energy of the lows, but when it comes to EQing, their use in this frequency range seems pertinent, considering that low frequencies are barely altered by your body acting as a natural filter.
Headphones also allow you to verify the quality of your fades in a more clinical way, as well as the impact of dithering, by increasing the volume a bit. But you should always be careful with your ears! It's better to concentrate a little harder than to crank the volume too high, which could irremediably damage your main working tool: Your ears!
Further, listening through headphones will also allow you to deal with reverb in a more refined way. Since any adding of reverb in mastering is done strictly in minute doses, your headphones will serve as a microscope for inspecting reverb tails.
Finally, it is obvious that, sooner or later, your work will be heard on headphones. So you can always verify that the result is up to your expectations.
Tools of the trade
In order to choose the best companion for your ears, we strongly recommend you to take a look at the reviews we've made of the different headphones we've tested.