Using Headphones to hear music: What do you expose yourself to?

Hearing damage from headphones is probably more common than from loudspeakers, because many people exploit the acoustic isolation by listening at higher volumes. Moreover, the risk of hearing damage from headphones is higher than with loudspeakers, even at comparable volumes, due to the close coupling of the transducers to the ears. Using Headphones to hear music: What do you expose yourself to?