well.. if you are comparing 5.1 surround headsets...
usb: these can be either sets with 1 driver in each ear or multiples but it tends towards one. if its one then it uses virtual surround to emulate surround while if its multiples then it uses multiple drivers to do the same thing. instead of using your soundcard it has its own digital to analog converter inside. since its internal you cannot try to improve sound by adding a better soundcard to your system. this is a good option if you dont have a fancy soundcard or if you have poor onboard sound but dont want to upgrade your pc.
3x 3.5mm cables: these are typically multiple drivers in each ear and not virtual surround. these also use your soundcard so can benefit from better...