Well, headphones do weird (and sometimes wonderful) things to soundstage (...and I'd really like to try the HD 800s!) but usually speakers win.
Of course, I too have looked around me for the cough or other sound I didn't think was part of the recording, and probably more often when using 'phones. It's a bit weird: leaves me feeling a bit silly, but also happy that the system could do that! I do think that the processing in our brains has a lot to do with that sort of thing --- but if you should then ask me why it happens to you with one piece of equipment and not with another, then I wouldn't have an answer; maybe hifi has to go so far before brain can close the gap.
I am not sure if I can agree with the "weird" part. Same about "usually speakers win". I am of the opinion that we
interpret speaker sound as
correct only because we are more used to it. But the kind of pinpoint imaging even an average portable rig provides is spectacular compared to a regular system.
I also disagree that it's our brain.
Our brain does no different processing of vibrations in the air based on whether it is coming from a regular speaker or a headphone. What our brain always picks is electrical pulses generated by the nerves in our auditory system. So I can never take it as a related to "processing in the brain" thing.
I have always wondered
why God have given us ears on the sides but we keep our speakers on the front. I have pondered over this since the day I was setting up my first music system back in the early childhood. Isn't it weird that God created us with ears on sides to receive sound clues from reflections from objects around us, primarily located left and right. But we place our speakers in the front and want to eliminate reflections from first reflection point, essentially preventing ears from receiving cues about location and distance.
I am not only dissatisfied with the way we place speakers, but also the way recordings are made. Close miking, fake sound effects, unnecessary stereo expansion, fake panning. Worse, some recordings that are mastered on low end equipment have bad placement. Sound engineer intends to place the main vocal back on the stage, but in the quest they end up altering the height of the singer.
Placing speakers on the side will give rise to a different set of problems (because current speakers and electronics are designed and voiced for front placement) but at least it will be more truthful when it comes to recreating the original sound-stage, in the same way headphones do.
Unfortunately, audiophile world is full of traditional thinkers. I am surprised why there have been so little advances in audiophile industry (especially 2-channel) compared to other industries. I am of the opinion that it's due to lack of out-of-the-box thinking at a principle level in this hobby.