Gaming headphones are often 5.1 (multiple speakers) and tend to shape the sound profile slightly.
I personally use some older Sony MDR-V700 which are awesome with great bass but they are more "audiophile" and don't have a microphone.
I've never experienced the 3D effect for 5.1, or virtualized stereo (except some demos like the BARBER one).
*If you don't buy "gaming" headphones be careful of the OHM value. If you get the incorrect value your headphones will be too loud.
Lots of GUIDES online you can Google.
**Expensive sound cards:
Be a little cautious here. There's probably ZERO benefit if you use the optical output, and some people claim there's minimal benefit even for analog when comparing the latest REALTEK onboard solutions. I'm going to compare that this week actually as I'm building a new PC.
I definitely noticed a difference between the Z77 Sabertooth onboard audio and my Auzentech X-Fi forte (specifically the onboard audio was a little muffled with good bass and other sounds weren't quite as good.)
Really expensive sound cards are definitely a waste IMO though. It's hard to find a single review I really trust though so in the end I just have to test it myself (with good headphones and speakers).