I have been very happy with the Sennheiser 598s I picked up last September. Bar far the most comfrotable headphone I've tried (although I only tried a few of the more popular models). I can sleep in these things. Can pick them up for under $250.
They are open so there is sound leakage, but as long as somebody isn't in the same room this is not an issue. Even if they are in the same room and are watching TV or something, I haven't had any complaints...yet...
BTW - I am a high-gain player myself
Here's some reviews that helped me make my decision;
CNET review: http://reviews.cnet.com/headphones/sen…7-34335812.html