Headphones.
I've been looking into getting a high-end pair -- preferably something by Audio Technica who're renowned for their headphones -- and a good DAC (Digital Analog Converter). For now I'll do with the Koss Portapro headphones I bought about a week ago; I hope they show up in the mail this week. According to most audiophiles, the Portapros give Grado-like* sound at an affordable price.
I think I'll get this Total Bithead USB amp/DAC:
I also still want to get these Audio Technica ATH-M50 headphones as they're cheap and supposedly sound as good as Audio Technica phones that cost four or five times as much money. They also supposedly have some of the best bass you'll ever hear:
It's amazing how little money you need to spend to get extremely high-quality sound with headphones. Loudspeakers, on the other hand, require a huge investment and never sound as good as high-quality phones.
*Grado is a company that's well-known for making high-end (though overrated to some) headphones.