If you had 2 different stereos they'd probably sound different through the headphones too. Different systems have different nuances.
I think the main point in this case though, is that mp3 players often have comparitavely crappy sound processing. They're made for the average joe on the move, and the average joe on the move isn't an audiophile. He just wants some tunes to rock out to (or mince about to) on the train.