What sort of music do you tend to listen to? Grados tend to be the rock/modern music choice - not said to be the best choice if you only listen to classic.
Grados are a lot less hassle to drive through standard headphone sockets - though they do improve a bit if driven via a good headphone amp.
Are you aware of the Grado comfort issues?
UK Grado prices are high, though you can get the Alessandro equivalents sent from the states which works out cheaper even if you get hit by customs duty etc.
Personally I'd not go for the compromise route of amp/cans for £250 but get the better headphones and if needed get a headphone amp later. I did that before and ended up upgrading and spending more
Though you will get advice here (we try) there's a far larger supply of advice (and opinions) over at head-fi. Although the largest base of users is US there are a few Europeans and Brits there and the for sale forum is more specific to headphones/amps than the for sale forums here.
Where are you located btw - may be able to suggest where you could try some headphones out such as Charing Cross Rd London.
Steve