If you're willing to up your budget just a
little bit, you could get head tracking surround sound
headphones.
Hee, hee.

Just kidding. Looks like great stuff, but those are pricey.
I used a pair of Medusa 5.1 headphones for a while when I used to game more and I really liked them. The price has gone up since I bought mine, but the equipment looks a little better. The system
here is similar to what I got, but the price is higher than you are looking to spend - and they have a microphone (which swings up over the head band, though). I'm just mentioning them because I thought that they were comfortable, and the surround sound was really pretty good.