Absolutely, but it's really more about knowing what to listen for. To be honest where I hear the difference is when a mix is being worked on and we're analyzing it constantly. You'll find a mix that sounds great, then you compress it to a different format for distribution and all the frequencies shift. Particularly the lows and highs. So we're not talking consumer gear here, more professional recordings. As another poster has stated before, compression changes everything no matter how "transparent" it's supposed to be.
As for setups. Haven't bothered purchasing one in years since I listen to most of my music in the car now, but I never recommend headphones and quality audio never comes cheap. They're too hard on the ears and it's hard to find a pair with good imaging. You're also asking somebody that likes things as flat as possible, which isn't very pleasing to the ear for most. That being said, have a look at some nice two channel amps from companies like Denon, Onkyo, Marantz, etc. The more power the better. Match them with a quality set of speakers and you'll have a nice setup. KEF and Paradigm are two of my favorite speaker brands, but with the KEF's you may want to pair them with a small sub since their more of a flat response speaker and don't have much low end. KEF's are also not as efficient so you'll need a more powerful amp to power them. Remember that more power doesn't necessarily mean more volume. It's more about giving more life to your speakers. The more power you give them the more jump they'll have. Also, speakers have a break in period so if they don't quite sound like they did in the store just give them a few months and they'll warm up. Hope that helps!