I have a Marshall G15R CD amp, and it sounds great when I have it playing out loud. But when I plug some headphones in, it sounds terrible.

I don't think it's the headphones because they work great with everything else. Do amps usually sound different through headphones?
It depends, i bet you turn down the volume when you put headphones in so you dont go deaf? Well with all amps, once you turn down volume and/or gain past like lvl2/3 mark, thats when theres a decrease in "umpf" to be technical :P And theres a reduction in tone etc, its nothing to worry about.