Impedence is equivalent to resistance in DC circuits, but impedance is freqency dependent in AC circuits (changes as frequency changes). An 8 ohm speaker will present the same load to an AC circuit that an 8 ohm resistor would present to an DC circuit.
Ususally impedence will be specified at a certain frequency, 1kHz for Audio.
lower the impedance the more current will be used for same voltage (ohms law V = I x R), 32 ohm headphones will be more louder than 120 ohm headphones.
Sensitivity is how efficent the headphones are at converting electrical energy to sound (Sound Pressure Level SPL @ 1Khz) and is usally measure in dB , higher the better.
3db difference is a double of power levels.
Usually the lower impedence headphone will also have the higher sensitivity:
but only if the same type and size driver is used. For example the micro armature is more efficent than the dynamic driver and can produce higher sound levels with higher impedance.
Dynamic Driver j-JAYS 106dB SPL @ 1 kHz 32 Ohm @ 1 kHz 50 Hz - 20 000 Hz $49.00
Micro Armature d-JAYS 115dB SPL @ 1 kHz 40 Ohm @ 1 kHz 20 Hz - 20 000 Hz $99.00
This is an very simplistic definition , you can get more information from
http://en.wikipedia.org/wiki/Electrical_impedance
http://en.wikipedia.org/wiki/Sound_pressure_level
http://en.wikipedia.org/wiki/Decibel