Vinyl as a medium of choice is all well and good, but if the expectation that vinyl (even new in shrink) will be the best listen for a particular recording, there will be disappointment ahead.
Some records just aren't great. Last night my son's friend brought over the 2009 MOFI release of Little Feat "Sailin' Shoes". I would say it sounded a bit thin. I have a much earlier regular reissue, but did not compare yet. I have listened many, many times to the standard issue CD and have never thought of it as thin. (
my def of thin : lacking a fullness with bass slightly wanting and treble encroaching upon the area where listener fatigue resides)
He also had a copy of Stevie Ray Vaughn's "In Step" (Music on Vinyl release). There were several short blips of distortion on
, Riviera Paradise, but the recording as a whole was very open. The decay on the shimmer of cymbals was very nice, SRV's guitar was spot on and the low end of the drums were full and distinct. Still, there was some slight distortion once and a while.
I have a copy I purchased new of Tedeschi Trucks Band "Revalator" which plays beautifully. Oddly the first play I caught a little distortion and was going to try and return it, but I'd had it for several months unopened. I haven't noticed any distortion on subsequent plays.

I will have to write it off to either a dirty stylus or even possibly a little gunk (release agent?) in the groove.
My journey playing records goes back to the 70's. IGD has rarely been an issue, but I am well aware that not all vinyl is going to sound great. Lackluster engineering/mastering and poor pressings are not too difficult to come across, and used, while I have had great luck, are never a for sure until played.
If you are going to be more often listening with headphones you will absolutely want to have the most diligent cleaning and care regimen possible for both records and stylus.