For what it is worth,
I have been extremely happy with two recent earphone purchases - these are not gaming headsets, though, and they are not for bass heads either. Both sets are very balanced and neutral instead, and the sound is very satisfying already at lower volumes. The earphones I had before (Sennheiser, JVC, Audiotechnica) all started to sound really good only at elevated volumes.
The Nox Scout (
http://www.nox-audio.com/Products/Scout-2) are balanced armature in ear phones which you can find as low as $25 currently. This is a speaker technology usually found in much more expensive earphones and these are way better than my more expensive earphones, one of which is also a balanced armature design. I am going to get a second set, just in case.
The Philips uptown over-the-ear headphones provide very efficient noise insulation and a wonderfully clear sound. In addition, they are comfortable on my huge head - which happens very rarely. In contrast to one reviewer the cable and volume control work just fine for me. I got a "refurbished" unit for $50.
http://mp3.about.com/od/iPod-MP3-Player-Accessories/fr/Philips-Citiscape-Headphones-Review-Uptown-Shl5905bk-Headphones-Reviewed.htm
http://www.head-fi.org/products/philips-shl5905bk-28-citiscape-uptown