I know a lot of people are recommending Sennheiser Game series but for real, try and go above that. This is what I just came from and let me tell you it really wasn't much of a jump over Astro's. The largest jump I've seen came with a nice pair of audiophile headsets. For me it was the E-MU's. I have used, in this order, Tritton AX Pro's with milti drivers for "True" Surround sound, Astro Pro wireless and Sennheiser Game Zero's. None of those ever gave me the impression of a sound stage where the sounds actually separate instead of everything being jammed together. With these headsets I only ever experienced a
small fraction of the sound quality and positional audio experience that I now have with the setup shown below.
The entire setup cost me just a little over $700 but I saved for a while and I bought it piece by piece over time, both the amp and dac where bought used like new.
The headphones here where without a doubt the most expensive investment. But it would behoove you to save up and do the same. In the end it would pay off with your enjoyment.
This is what is called an end game setup. I only plan to sell my Fiio and buy a dedicated DAC to solve some sound issues that I have with my GPU but this is going to last me for the rest of my life. I don't feel the need to go any further than this. I feel content and it's amazing.
My brother and his SO came over and tried them out and they where all over it like crack. It was cute because it was during my grandma's funeral reception at my house and instead of mingling all they wanted to do was test all of their playlists with the E-MU's.