Best one for me is Slowdive's Just For a Day album. Here's a nice track from it.
Slowdive - Catch The Breeze - YouTube
My Bloody Valentine is another favorite for me on headphones as well.
I like listening to shoegaze bands like this just because the layered sounds combined with quality headphones can make for a very surreal listening experience. Kinda like you're floating in the music, for lack of a better way of putting it.
Oh and I agree with the Pink Floyd comment too - DSOTM sounds amazing.