I have a kickass surround system connected to my PC and fantastic boss PC speakers.......... but I normally use headphones because I normally have Skype running talking shit with people when I'm on the PC so I never really end up using anything but my headset with mic.
I have nice speakers, so speakers.
I use a headset for voice chat. It only has one earpiece, so I have it set up so that only the voice comes through the headset and the rest of whatever still comes through the speakers. I can't imagine not being able to deal with the volumes of each independently without any hassle.
I've used headsets up until yesterday. I am a bitch about audio quality, I enjoy hearing everything I possibly can as clearly as I can, and I like turning my volume up enough that I block out all outside sound when I'm playing video games. Earlier in the week I ordered an Audio-Technica ATH M50S at the recommendation of a few users I saw in a thread a few weeks back to replace the Logitech G35 I had. These are... I'm not sure I'll ever go back to headsets. I'm completely spoiled on dedicated headphones now.