Honestly, it made a big difference using the Russ Andrews cable - a couple of guys in the office wouldn't believe that it would make any difference, so i gave them a demo and they were shocked. There are plenty of other replacement cables, and endless reviews and testimonials out there on the web. Russ Andrews has a 60-day trial / return period so there's nothing to lose.
I also have the hd800s, excellent but vy vy fussy with amps, so watch out! It does have a tendency for some brightness and leanness, particularly in the bass. But astounding resolution and soundstage. Other headphones to check out are closed types like the new Sony mdr-z1000 or denon d7000 or audio technica w1000x.
It seems that all the best headphones leak (hifiman he-500, audeze lcd-2, grado ps1000 etc). hd800 doesn't leak too much (for an open pair of headphones).