There's a lot to be said for plugging your headphones into a good source.

I have always found the built-in outputs on Mac portables to be a little dull and muddy, but conversely Apple's mobile devices (and particularly the later ones) have excellent and clear outputs.
Since the output on my MacBook Pro dropped one channel I have picked up an external USB sound output which is worlds better than the built-in output ever was.

The other thing to consider is that some headphones (larger drivers usually) require more power to drive, those again will be seriously let down by a lacklustre output.