I can hear the difference between $200 and $500, but I'm not sure I would say that the $500 sounds better -- or just different. I suspect I'm not alone. But its up to each person to find the right price point for their ears.
I had an interesting experience along these lines. I was in a headphone shop because my old $200 Seinnheiser headphones had fallen apart after many years of use.
I got to compare many different headphones from different manufacturers back-to-back, using my own music that I was familiar with.
Under $200 = garbage.
$200 - $500 = generally good and largely indistinguishable apart from the comfort of the headband and the padding.
I was about to buy a pair of HD600 headphones when for a lark I decided to try the "out of my budget" HD800 headphones. They were $1,500 at the time.
It was like night & day. I couldn't believe it. All other headphones rendered the sound of a double bass in a classical piece as a monotonal "thrum-thrum-thrum". With the HD800 it was like you were standing next to the thing. Every note, even the lowest, clearly distinct. You could hear the scrape of the bow across the strings. In orchestral pieces you could hear every intake of breath and every ruffled page.
Head drooping in defeat, I handed over my credit card and bought it right there. I was ruined. There is no going back.
I ended up re-listening to my entire music collection and re-watching every movie that had decent sound mastering. Some songs made the hair stand up on my arms, they gave me a sense of tingly pleasure they never had before.
It's funny, sometimes better reproduction quality ruins the experience - for example I rewatched some sci-fi movies on my 4K TV in full resolution and the extra detail just brings attention to flaws in effects, it shifts the experience from people in a magical place to actors in front of a green screen.
But everything is objectively better and the experience is better in 95% of the cases.
Likewise for music. When I listen to some music on my studio headphones I get precise sound and more detail, but in the end some music sounds worse than on cheap but loud bass heavy headphones.
