Depends on the rest of your music set up really....
A decent set of speakers/a pair of normal stereo headphones and you'll see a world of difference.
Try something like Dolby Headphone and you'll be blown away (headphone surround wise).
I got my Xonar D2, second hand for about £40. Absolutely incredible what it does for my gaming.
FPS', I hear bullets whistle past my ears, Skyrim, I honestly was completely freaked out by a ghost noise, and Racing games - oh god the roar of those engines!
kd