I play games and listen to a broad range of music. I have about $300-500 to spend and I perfer to get the best value of my budget, so if the gain is marginal when I spend 500 compared to 300, i'd spend 300. The thing I'm looking for most is sound quality. I don't really care if it has a mic or if it looks cool with all the lighting effects. Next it must be comfortable to wear for long sessions. I've been using G35 for two years and I still can't get over how extremely uncomfortable and heavy this thing is, even though the build quality is good. I currently don't have a sound card, but if that's what it takes a headset to sound good, I'll get one.
To sum up:
my budget: $300-500. (I can buy $500 headset or $300 headset+$200 sound card etc)
What I look for: sound quality, comfortability
Shouldn't need a sound card - the DACs (Digital to Analog Convertors - the things which change a digital data stream into an analog voltage waveform) are pretty much the same as those on a half-decent motherboard. Going for digital (ie optical or USB) till the headset itself is probably the best way to reduce noise/interference.
I'd say that most of the higher end headphones are pricey merely because of the brand on them though - look for actual reviews that extend beyond "sounds good, bro" before buying any.
Looking on forums related to audiophiles might be a better pick than here.