You should buy a Razer Tiamat, and a computer capable of running it. It's a 7.1 surround sound headset. It's different from other surroundsound headsets in that it's truly surround sound: there are a bunch of actual tiny speakers inside each ear which physically emit sound from different directions.
The experience is incredible! It's nothing like headphones with two speakers, or any of the "virtual surround sound" stuff. People think we only need two speakers because we have two ears, but it's not true at all. Two speakers work sort of okay, because everyone's used to them and our audio presently is made to work for them, but surround sound is far superior.
Unfortunately it requires a desktop computer that has 5 plugins for the audio. (Front, front-left, front-right, back-left, back-right, if I remember correctly.) Also, the headset is slightly hard to configure out of the box. If you plug it in and aren't overwhelmed, don't give up hope! You have to go into the audio settings and enable stuff like bass management or loudness management or... stuff like that, I've forgotten at this point but I could look it up if needed.
The positional audio is so good that I think you might be able to play some games. Unfortunately, there aren't very many games which take full advantage of surround sound, but it could be fun for a friend to play a scary game like Amnesia while you listen to it. It's admittedly very expensive for probably not too much takeaway for you though.
Here's a link to a comment I wrote about the Tiamat a couple months ago when Sony announced a competing project to the Oculus Rift. They said they're shipping something with "60 virtual speakers" so that prompted my comment: https://news.ycombinator.com/item?id=7426463