Xbox Evolved points us in the direction of the AX360 headset -- though they failed to put any links to it on their page. Nonetheless, the AX360 is a complete surround sound/Xbox Live compatible headset. It provides true 5.1 surround sound through 8 speakers (four in each ear cup) using the Xbox 360's optical port. The headset also includes a microphone for online play, making it an ideal solution for those late night gaming sessions or significant others who don't appreciate the noise -- though you might have to explain why you're talking to the TV.
The unit can be had for around US $130, possibly less if you look hard enough. The reviews seem to be pretty positive -- though Xbox 360 Fanboy has not received one to review and then give away in a buzz generating contest (ahem). Are you listening, Tritton Technologies?