I have a very modest setup too:
* One of those cheapie eBay "Bravo" 12AU7 based headphone amps. I spent about $55 on it, delivered. It's great!
* A used pair of much the maligned (but I rather like them!) Bose AE2 headphones. These are very comfortable and had better bass by far than a pair of AKG 702's I auditioned.
* An old Sony cd player (model CDP-311) which I got for $4 at a goodwill store and repaired the transport myself!
* I just bought one of those cheapie Pyle Pro (model PP-999) solid state phono preamps and occasionally use it with the Sony PS-X5 (also repaired and cleaned that one), with a very nice Shure M91E cartridge. The phono preamp is quite good actually. No, it's not going to smoke my main system phono preamp (an E.A.R. 834p) but what the heck -- it was $20 and doesn't suck by any stretch!
--Mark