Description:
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From manual page: http://www.php.net/function.mail#Parameters
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Experienced in three different PHP installations under Debian Lenny (PHP/5.2.6-1+lenny9) and Red Hat 3.4.5-2 (PHP/5.0.4):

Using \r\n as line separators in the additional-header parameter, as required in the documentation (_any_ version I found) causes severe problems with some mail clients. Apparently, either mail() or the MTA adds an additional CR, which is no problem with most mail clients but effectively results in extraneous linefeeds if the mail is received by GMX. These extraneous linefeeds preempt the mail header section and move everything but the first header line into the mail body. Accordingly, the MIME headers are not properly interpreted. This problem has been reported, incidentally, in several forum postings, with hardly a good solution found there.

I replaced "\r\n" in my software with PHP_EOL; the pertinent section reads now:

$this->header = "From: ".$from;
if ($reply_to != "")
	$this->header .= PHP_EOL."Reply-to: ".$reply_to;
$this->header .= PHP_EOL."X-Mailer: PHP/".phpversion();
$this->header .= PHP_EOL."MIME-Version: 1.0";

...

Test script:
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Simply send a mail with "\r\n" in the additional_headers and with several lines in the header section from a Linux environment to a gmx mail account. Replace "\r\n" with PHP_EOL (which is "\n" under Linux), and note the difference.