"Music Hifi" headphones work perfectly fine for gaming, and sound better than the vast majority of gaming headsets.
It's pretty simple:
- If your on a console, get: Astro Mixamp (OR DSS if you don't use chat) + Headphones.
- If your on a desktop PC, get: Soundcard with surround virtualization (such as Asus Xonar) + Headphones.
For the headphones, see the choices from the link in my last post.
Some of the more power-hungry headphones may require an additional amp.