ExtremeTech has a review of three premium gaming headsets; the Logitech G35, Able Planet True Fidelity PS500MM and Razer Carcharias. These headsets have a $80-130 price tag, you can check it out over here.
Even if you don't need a headset for games, chat programs like Skype to Live Messenger require one. Sure, if your PC game came with some kind of boom microphone that sits on your desk—you might as well toss that in the trash. You always sound terrible with those, they pick up every other sound in your house, and when people talk to you it comes out your speakers, gets picked up by the mic, and echoed back to them. The same goes for those mics integrated into laptops.