I'd say speakers for two reasons....

a) headphones at high volumes really hurt my ears, or at least, if I watch a Music Vid playing it very loud, my ears will hurt for at least the next day.
b) You can't feel the music rubble under your feet.

However, headphones are better for recording, as the actual sound is more precise.....

In a way headphones are better, certainly something like Dark Side Of the Moon isn't as impressive through speakers, but then, for the precision in sound, you loose the feel, and power of the music. That's what I've found anway....

Headphones are great for if you want to play music increadibly loud at 4 in the morning