Many people elect to get dedicated gaming headsets for PC and console games, but you might not realize that gaming is a wholly different animal than simply listening to music. Certain types of games work with some headsets better than others, and it's tough to know by simply looking at the package which one you should buy.
Before selecting a headset, you should narrow the field a bit by figuring out what hardware you're going to be using it with. Console? PC? It matters.
Your choices will be limited by this, but there are plenty of options for each use. Pay attention to the connections: A 3.5mm (1/8th inch) connector will work with your computer, but you'll need a 2.5mm connection to work with an XBox 360, for example.
Games with a lot of really loud explosions, gunfire, or other periodic noise will really rattle your skull if you're using a set of headphones that are designed for music and not gaming. If you like to play shooters or action games, you're going to want to grab a headset that downplays certain sounds a bit. Not only will you protect your hearing better, but you'll notice those footsteps behind you more easily—improving your chances in a deathmatch.
You may want to look for a set that will allow you to change the sound in some way to fit your desired performance—headsets and headphones with adjustable sound performance are ideal in this regard.
RPGs & Adventure games
Because music is much more important to an adventure game or RPG, you may want to grab a headset that performs more like a traditional set of headphones: You don't want to downplay any range of sounds, and a headset that is designed for shooters will make your fantasy game sound weird. If you don't find a headset you like, for these games, adding a microphone to a set of headphones you already own will also work.