I think most Roger Waters solo albums, especially "Amused to death". He tends to use a lot of softly spoken background dialogue on his albums which is often not discernible without phones. Also, for pure production brilliance, "Dark side". But then, you knew that.
Course, it naturally follows that you need to be using GOOD headphones to make this worthwhile, yes? Anyone want to throw out any names/brands they use/trust?
Oh, and Jeff Wayne's "War of the Worlds" is great for getting lost in the atmosphere of the story with headphones too.