I can't really imagine not playing games with headphones, I've never heard my consoles... Or my PC for that matter. I should probably check for dust, it's been awhile.
I bought a really nice pair of gaming headphones a while back. The quality on them is probably better than that of my speaker setup (which is getting outdated at this point). But, I almost never use them because they mat my hair down in a weird way (which I've come to call headset head). It's not just those headphones either. That old pack-in headset that came with the 360 did it. Any over head headphones seem to cause it. And it happens whether my hair is really long or really short. MY LIFE!
I know your pain. I have these headphones (ATH AD700) and I really enjoy them. The problem is those little wings that sit on your head push under my hair and cause two flaps of hair to stick up on my head. I have fairly thick hair that does not like to go back in place once it has found a humorous resting point.