What people are suggesting is that you get a headphone surround processor and a good pair of stereo headphones. Now, the only really effective surround processor I've heard is Dolby Headphone, and in fact I use it a lot to watch movies (with the Super.fi 5EB -subwoofer, schmubwoofer!-). A good cheap card that has it is the Sondigo Inferno, but with Vista, I've had to use the Auzentech X-Meridian drivers (same chipset) to get it to work well, and it does work great. Another option is to get Asus's new Xonar U1, which is an external USB audio "station", but the Inferno is a much better value in general.
I haven't heard CMSS-3D Headphone, but I did try an X-mod for a while and I was severely underwhelmed by the sound quality and the "surround" especially compared with Dolby Headphone. I don't think the Xmod has the headhpone-specific implementation of CMSS-3D, in which you feed it 5 channels and it processes it, though. It just has the one that takes stereo and makes it "surround" so yeah, I haven't tried that.
DTS also just came up with the crappiest name for a technology, "DTS Surround Sensation", which will be a direct competitor with Dolby Headphone. I'll be watching for that, since DTS usually one-ups Dolby, albeit at the cost of being late in the game.
Another thing you can try, that will work with PS2 games and Gamecube, as well as your PC if you already have Dolby Digital Live or DTS Connect in your sound card, is to get the
JVC SU-DH1 Dolby Headphone processor. It works with S/PDIF and processes DD, DTS, and PCM into Dolby Headphone, while applying if you need to, Dolby Prologic II, which is featured in many PS2 and GC games. So, run the S/PDIF from PS2 or analog stereo from GC, set your games to DPLII, and the SU-DH1 to decode DPLII and encode to Dolby Headphone, and you'll get surround headphones out of your game console. The price may be high considering you need to get the headphones too, but it's very well worth it.