From a physics and perceptual standpoint, headphones do offer better sound localization and sound attenuation. However, having one's Altec subwoofer mounted directly onto one's chair with the satelite speakers mounted directly to either side of one's head are also cause for bragging rights in one's dorm. (ahem)
As for recommended cans, try
http://headroom.headphone.com/layout.php?topicID=2
to get an idea of what class of cans you want and what you are willing to shell out, then try ebay. I got my Sennheiser 580s (retail $200) for about $80 and they are positively orgasmic.
Cheers