Some things I listen for.

1. Symbols making a tsss sound as opposed to thhhh
2. When there are a lot of sounds happening, if you can still make out each instrument, each drum, each symbol distinctly. Bad headphones seem to sound muddled and undefined
3. Some sounds like a snare drum, or a piano note, or the pluck of a guitar, have a real sparkle to the sound.

Just some of the things I listen for. I'm not an experienced great connoisseur by any means

What are the pros and tons of telling a joke like this?

That joke got no laughs because it was inert