Well, surround can be simulated, the X-Fi does that particularly well.
But I surround speakers + good stereo headphones make a great combo, especially considering that stereo headphones provide better bang for buck compared to stereo speakers. The first thing you need to decide, is on a budget.
In the sub £40 section - I recommend the Koss line: Porta Pro, SportaPro, KSC75 (those three are similar but slightly different too - I could elaborate if you are interested). They sound amazing for the cost. Also worthy are the Sennheiser PX100.
In the sub £100, you have quite a few choices. Sennheiser HD555/595, Beyerdynamic 770, AKG 501, Audio Technica A500 and Alessandro MS-1. The last two need to be imported though. An alternative to the MS-1 would be the SR60, but Grado are overpriced in the UK IMHO.
For under £150, and you can get well known "reference phones" such as the Sennheiser 580 and Beyerdynamic DT880.
That's a starter list, the question is, what's your budget
[There are even higher end heaphones, but I think those should get you started]