I guess you've already touched on Grado, but I have to put in a good word for the SR60, now upgraded to SR60i. They were my first dive into quality audio a few years back, and I got them specifically because they were recommended for use without a headphone amp. I was pretty blown away by the sound, especially for $80. I listen to a pretty ecletic range of music, too, and I don't remember a lack of bass ever being an issue, but my expectations may have been different than yours. Even this website mentions the new "i" upgrade produces deeper bass: http://www.stereophile.com/headphones/grado_sr60i_headphones/

Anyway, if you have a chance to give them a listen I would definitely recommend it. My experience and most reviews I've seen suggest it would be pretty hard to find a better set of cans at that price level.