My usage is similar, in that I play a lot of games and watch movies/tv shows with my HDVD 800 and HD 800. The only problem I can think of is that action films generally don't sound very good when mixed down from 5.1/7.1 to headphones. Action scenes tend to sound a bit flat (depending on the movie) and the bass seems weaker than it should be compared to when you've got a subwoofer. Dialogue scenes, music and ambient sound all sound great, but action doesn't sound like it should.
Games on the other hand sound fantastic with the HD 800. This is of course highly dependent on the games you play, but any recent game should sound sublime. I play quite a lot of games, and all the big titles I've played this year like Bioshock Infinite, Tomb Raider, Far Cry 3 Blood Dragon, Metro Last Light & The Last of Us have without any reservations been great experiences with the HDVD 800 & HD 800.
Are you using CMSS/SBX/Dolby Headphone?
I found Bioshock Infinite to have strong sibiliance with CMSS-3D and the HD 800. CMSS-3D enhances the highs so that's of course part of the problem.
Are you watching your movies in stereo? Did you try PowerDVD with THX Tru Studio Pro or Dolby Headphone? I tend to find explosions and rumble better when using the Signature DJs, they have that phenomenal subwoofer feeling. I am looking forward to trying out the TH-900.