Doing head to head comparisons between lossy and lossless sources can at times be confusing, but even when the difference is relatively indistinguishable keep in mind the the mp3 format by it's design will eliminate parts of the the original source. That's one of the reasons I went lossless years ago and never looked back.
Of course you have to take loudness compression, source used, fidelity and a whole other host of factors into account-but at least you don't have to worry about losing anything.
Headphones are easier for critical listening, and in the case of doing any video work can b a godsend, provided you have some decent phones to work with. After years of film school and seeing everyone on-set (and even famous people now) with crappy pairs that have no detail whatsoever, I got fed up and tried to get something for both work and music.
The Sonys you have now Harmy are the upgrade for the old Sony MDR-150s. They have a decent bit of bass to them but overall are severely lacking in detail. The MDR V6 CatBus mentioned (also a similar model the 7506) are Sony's gold standard and have been favored by many in the A/V world for general work since the 70's. The design has never changed all that much, and they still hold up well today. (I auditioned the new model when getting some new phones last year).
What I currently use is good for both A/V and music, the Sennheiser HD380-pro, an upgrade to the old 280pro workhorse I used in college radio. These are very flat in response and much more comfortable than many monitoring headphones, combined with a very good range for highs and especially a clear defined low end. Thus you have little to no coloring of sound. The coiled cable is ideal for working, and they really don't require an amp so plugging straight to onboard audio works fine.
Didn't know that about mpc-hc. Does it not do the full HD codec?
My PC speakers are old Logitech 5.1s and like most PC speakers, you're never going to get very much out of them. Headphones for working and then home theater/music setup for the full effect.
I do need to upgrade my simple sound card, but overall if you configure everything right and have decent components, it should be fine.
BTW, the simplest way to listen to audio on a PC is the magical little program foobar2000.