Just to give people an idea of how harmful headphones are, I have a little personal experience to share:
I was born with a hole in one of my eardrums. I had a tube in this ear and was on antibiotics until I was eight years old. I had constructive surgery to seal it up when I was 8, which failed, but it later healed itself, to my doctors wonder. But, when I hit sixth grade, I got chicken pox (the day before 6th grade camp started. Darn.), quite a bad case of it actually, and had had some internally, in my mouth as well as a few in/on my ear. Well, The doctors aren't completely sure what happened, but they believed that I actually had a pock on my eardrum. This caused a rupture, which went untreated for about a year or two. It was later examined when I was in 8th grade and a cyst had formed on my eardrum. That summer it was removed, and I had another tube put in, which should be falling out anytime soon (it's past its two-year quota). I still get ear infections constantly, even at the age of 16, and have nerve damage in my right ear as a result. Nearly every day I wake up with a translucent liquid coming out of my ear, which thankfully has started cycling on and off since I had the tube put in.
Recently, I've been listening to a lot of music with in-ear earphones. I keep the volume VERY low due to my ear sensitivity, but I still have various problems. If I have the earphones in for more than 30 minutes, I feel it the next morning. I get an almost instantaneous ear infection when I wake up. And this is no small ear infection; occasionally I get blood coming out, but it's usually a combination of a liquid that streams out in unimaginable quantities considering it's from an ear, and a thick snot-like mucus that hurts like hell as it goes through my tube, and I hear a loud "Pop, draaaaaiiiinn" from the inside. Through all of this, I still listen to music since I'm so used to the ear pain, and really, I don't know if I have any nerve endings left up there, and I like music that much. Stupid, I know, but I haven't found a better way to listen to music yet.
So in short, even if you don't feel the damage, its being done. Do you know how I know? I have countless tests done to monitor my hearing, and my right ear always scores higher than my left, even though I've had incredible pain from my right.