One of the issues with using headphones to mix is that you really miss out on the lower frequencies. However, there are advantages of using headphones as you definitely get a more intimate sound and problems/issues with room acoustics are diminished.
What I do is to mix using my M-Audio BX5a nearfield speakers. I then use the headphones to verify the initial mix (I use the Ultrasone HFI-780 headphones) and then I also use a cheap $20 pair of computer speakers to see what the mix sounds like using crappy speakers. Once I'm happy with the way things sound on all three systems, I know it's time to stop mixing!