Well start off with ignoring Creative, Logitech, Altec Lansing, Labtec and any other brand you'd find at Best Buy or any other big box stores. To give credit though, some of those stores will carry Sennheiser, BeyerDynamic, AudioTechnica or some other good brands but they jack the prices up and it's better to buy online.
To give credit to rxcaptain, that is a reason why gamers like X-Fi because they can mess with the audio and hear more. In every case though that just degrades quality. A lot of people like quality audio but they will mess with equalizers and stuff like that. I tend to take a purist approach and IMO it's the right way. Messing with the audio signal from a quality mastered CD, do you really know better than the technician with thousands of dollars into his setup and years of experience? No. If you get accurate reproducing headphones/speakers and neutral sounding gear, you're hearing it exactly as the artist/technician intended. Loudness wars is an issue you can't avoid and unfortunately those idiots don't know what they're doing to music but at least you can enjoy music the way it was produced if your system is decent.
Typically to get a good setup, you need beefy headphones that require a good amplifier. X-Fi cards and onboard audio typically don't amplify the signal in a quality way or with enough power to drive the headphones properly. I've always thought of it as a light bulb with low power. It's not going to output the proper amount of light but you can still see, it's just difficult. Give it the proper power and it performs great. This is the same for speakers, they need proper amplification to work properly. Remember both speakers and headphones are moving parts and in their most basic form, they need electricity to move properly.
eKC0mm, your first step IMO is to get a pair of headphones that suit you. The 3 brands above are ones I would recommend. I would shoot for anything Sennheiser 5xx or higher, BeyerDynamic DT770 or higher and AudioTechnicia, I'm not too knowledgeable on their confusing model numbers but their good ones start at about $90-$100. If you spend $100-$150 roughly on a pair of headphones (that aren't BOSE or Beats) you're doing good. It's a good introductory rage and will get you a real good taste of audio.
Use the following guides to help you narrow down a few choices of styles and prices you would like:
http://www.head-fi.org/a/headphone-buying-guidehttp://www.head-fi.org/a/buying-guide-headphones-by-price-rangehttp://www.head-fi.org/a/a-hopefully-helpful-headphone-buying-guide-for-newbies-by-boomana*EDIT*
lol Kicker, way to go off the handle. You can spend $300 and have a real great setup, you don't have to spend $600 on a DAC and any audio enthusiast wouldn't buy one at Newegg anyway. You're putting down quality audio without having tried it. Yea it looks ridiculous at first but once you hear it, you'll understand. Audio is the cheapest way to get immersed into another environment. Video is vastly more expensive to get quality and I'm not talking about junky piece of shit 40" LCD TV's at the big box store. I'm talking about IPS panels. Anyway, you CAN hear the difference, that is if you decide to pull your head out of your ass and stop thinking like a typical gamer.