Why don't you go back to the store where you bought the piano and ask if you can borrow the headphones that you originally used to try it out in the store. If you leave a deposit, I'm sure they will let you use them over night. At least that way you can confirm that you are getting the same sound you heard in the store. Is it the same piano as the one you played in the store, or was it new out of the box? There is a possibility that there is a problem with yours, if you got a new one, if they still sound different. Unfortunately "hearing memory" is notoriously bad, and PianistOne has a point about background noise masking the "truth". Why not bring it back to the store and compare it to the one on display?
I use a pair of AKG 240S Headphones, which you can get on ebay for under $100 shipped. They are very comfortable and great sounding for the money. http://cgi.ebay.com/NEW-AKG-K240-St...985QQssPageNameZWDVWQQrdZ1QQcmdZViewItem
You will find lots of opinions on Headfi.org about headphones. Another really good Bang for the Buck Headphone is the Grado SR-60, at around $80, but they are not as comfortable as the AKG's (I've owned them also).