only thing that i feel needs to be burned in are new tubes, which like mastergill, I've found start to sound a bit different after about the first few hours of using them.
i think the whole burn in thing is all placebo for headphones and the like. i think it stems from the fact that a lot of the newbies buy the "hot" headphones, expect them to sound amazing, and are, at first, disappointed that they don't hear the difference. thus, they fall into burning them in for a gazillion hours, and bam, they think they hear a different sound signature.