I've never understood the idea that by placing earphones over your TWO ears you're going to get 'Surround Sound'. Yes, it has a micro-woofer and displaced a centimeter back and a tweeter a few millimeters ahead. They're still covering your ears.
The game audio gives you clues, not the location of the speakers in your ear cannal.
Does anyone remember the Zalman Doom 3 uber headphones?
Just get a set of good headphones for your ears and don't forget about the cable. Most headphones come with the weakest wires possible and will break just by hanging off your input jack. If you think that surround sound headphones work then, whatever....