ZFR: Any opinions on Sennheiser HD 518? They're cheaper than Sennheiser HD 558. Is the extra 17.50$ worth it to get 558 over 518?
No, sorry. I've never tried the 518 and I'd prefer to do extended side-by-side listening before making any recommendation.
ZFR: Why don't any Sennheiser models come with volume control? How do you deal with it when playing games, and you want to lower/raise volume without having to pause and go to Options every time?
There are many reasons, but the gist of it is that a passive volume control is (or at least can be) a disaster from audio quality standpoint. The problem is that the only practical way to passively attenuate volume is through the use of resistors. But most headphones don't have a flat impedance curve, so inserting resistors in the signal path will create a voltage divider whose ratio *depends on the audio frequency*. So it will modify the sound, which is certainly not what you want in a quality setup.
Furthermore, most audio sources have output capacitors to block off harmful DC offset. And the phones themselves, plus their cable, have some capacitance of their own. If you've learned analog electronics, you might recall that capacitors and resistors together form low-pass and high-pass filters, depending on how they're wired. These modify the sound, which is again not what you want, so you don't want to insert resistors into the signal path.
Now to make the attenuation adjustable, you need a pot. For audio use, you almost always want a logarithmic pot, or one that fairly closely mimics the logarithmic response. Good log pots are expensive. It also needs to be a stereo pot, obviously, since you have two channels. A problem with pots is that they tend to oxidize over time, which results in poor contact, which results for example in crackle when you adjust the volume, or randomly losing the sound on one or both channels. And it gets worse over time; at some point, your volume control might be close to useless. Then do you toss your headphones (that could easily be good for another 20 years) or start soldering a new cable / attenuator onto its old cable? On top of that, almost all stereo pots introduce channel imbalance somewhere across the range, because the two separate channels are not identical. It's hard to manufacture them identical, and the better they are, the higher the price...
It gets worse when you consider that there aren't that many pots manufactured for the resistances you need for such use. Common values are in 10 kOhm to 50 kOhm range. For an inline headphone attenuator you likely want something that's under 500 Ohm, maybe closer to 50 Ohm. There simply aren't many quality options in that range, because that's not how you normally do audio volume control. Oh, and did I mention that the pots need to be rated for the full maximum power that's going through your headphones, plus some for the shunt? For very small phones (which are usually sensitive), the power can be quite low. For large high end headphones, it can be quite high. Which poses a problem because good high power low R logarithmic stereo audio pots aren't really a thing.
Depending on how the pot is wired, you might need to add an extra shunt resistor to prevent a short at one extreme of the pot's range (such a short could damage some sources). And some designers would opt to add a resistor on top of the pot's response e.g. to combat the channel imbalance. Did I mention that resistors add noise? And you have to pick an [expensive] quality resistor to minimize it and make sure it's still good enough to pass all the power that's going through. Such an arrangement of passive attenuation will most likely decrease volume even when you've adjusted it to maximum. This can be problematic when using low sensitivity high end headphones with a weak source (e.g. many portable media players designed to drive earbuds, and unfortunately many integrated computer soundcards, especially in older PCs).
So from an audio quality perspective, such an attenuator is a nightmare of bad tradeoffs, for the convenience of having a volume control in line. Almost always, these things aim for cheap precisely because there's no point in making a high quality attenuator for use with high quality phones when the attenuator will still almost inevitably hurt the quality. That would be a lot of money spent on something people looking for quality audio gear *don't* want!
So the assumption is that people will plug their phones to a good quality source where the volume control is done right (i.e. somewhere before the power amplifier or buffer, generally at pre-amp stage). This is where you can use these good quality 20 kOhm pots designed for audio use and they won't create these dreaded frequency dependent voltage dividers or hi-/lo-pass filters with your phones & dc blocking caps. They feed into the high impedance amp or buffer, which presents a low impedance source for your phones.
Portable media players, stereos, PC speakers with headphone jacks, most PCs with headphone jacks, or external PC soundcards... all of these can be a good source that provide you with volume adjustment done right, so that's what you're expected to use. If you don't have a volume knob, maybe look into creating keyboard shortcuts for adjusting the volume.
So how do I deal with it? Well:
I have one of these sitting on my desk. I've three computers and multiple headphones connected to this thing so I can always get a knob handy regardless of what I'm doing.