+1 I have the Turtle Beach AKR8.. which is the HPA2 headset that plug into a 5.1 USB device. I think I paid close to $100 a few years back for them, but the sound is amazing.
Before that I had a pair of LTB 5.1 USB headphones that were... 'meh' at best, but still tons better than plain-jane headphones. I didn't realize just how 'meh' they were though until I replaced them with a Turtle Beach set.