I enjoy listening tests either for personal use or as part of an organized test. What little research I've done indicates the best value for midrange audiophile phones are open, but my house is far from soundproof. I live in a terrace house attached on both sides (neighbors aren't that noisy, but sound still travels), and it's not big enough for a dedicated listening room. My system is PC-based, so the fan is a factor as well.

Current rig:
m-audio Revolution 5.1, coax out
Yamaha RXV359 receiver
Headroom Micro Amp (to arrive next month)
Phones: Sennheiser HD595, PX100; AKG K26P; Sony MDR-EX71
next phones on the wishlist: Sennheiser HD280Pro; Shure E4C

Not sure whether to stick with open, maximize isolation with an IEM, or go with closed as a compromise. I'm assuming that no matter which way I go amplification will help.

Any suggestions here? What do you use for testing?

High quality closed headphones. Just my 2 cents.

Depending on the environment a closed back headphone would be better, as they limit the chance of any external noise mixing with the sound signal.
That said, I only have open back headphones which I frequently use for listening tests. Can't say I have ever experienced any problems related to the open back headphone. I live in a very quiet environment though...

Usually my Stax Omega II system, or any of my other Stax headphones.

Audiologists use IEMs to test peoples' hearing, so that might be a good place to look. Etymotic hardware, specifically the '4' series are regarded as rather accurate.

I'm a True Believer in IEM's. They work great for me.