I recently found a great article concerning mixing with headphones from Sound on Sound's website:
Mixing On Headphones
After reading it I was curious if anybody in the forums mix with headphones and would like to add their 0.02$ as far as what headphones you use and if you use any sort of headphone amplification. I currently mix with a Denon AH-D1001. Although I've gotten tracks licensed mixed on that set of cans, I'm not too happy with the bass response. I know this is typical with headphones, but I am noticing extreme differences in the low end when monitoring on a pair of speakers as compared to the headphones.