It really depends on what you want to achieve and your budget. If you have around $1000 to spend, Sennheiser's HD800 will beat any 7.1 speaker setup at letting you hear the direction and distance of footsteps. They are extremely clear sounding with a fast and clean transient response, great directionality and the largest sound stage of any headphone.
In short, these were made to let one listen very deeply into music and hear all the little details you can't hear with most headphones/speakers so excel at letting you hear everything in games too. I own a pair so I'm not basing this on marketing fluff I've read.
As for how "surrounding" they sound, these two verdicts from CNET and Trusted Reviews sum it up nicely.
"The Bottom Line, Sennheiser's exquisite HD 800s sound more like listening to full-size speakers than any other headphones we've heard to date."
"With a gigantic sound stage, they can make music sound as if it is coming out of speakers nearby more than almost any other set we’ve heard."
No, they won't beat speakers in how surrounding they sound, but when paired with a sound card with virtual surround technologies, they can come very close.