I don't know much about sound, but I am enjoying my Creative Fata1ity headset in all the aspects you've mentioned.
You've got a higher budget though as these are priced from $40-50. You might be able to find something better at a higher price.
This is slightly above your budget but IMHO the best bang for your buck in gaming for less than $250. Add a cheapo clip-on mic and you're golden.
This is exactly right, you won't get any better imaging in a headphone south of $400. Imaging is the ability to pinpoint the location of the sound you hear, which is monumental with competitive gaming. It isn't just for FPS either, I've been able to hear the direction of my enemy's howitzer across the map in COH. I've been accused of maphacks a good deal as well.
I have the Audio Technica AD700...on a shelf. I see the price has come down to a nice point (seeing how these are 5+yrs old). Pulled them down and listened to them and they are very decent for gaming. The bass in them is terrible, in my opinion, and not good for movies or music. However, they do have great (for the price point) virtual surround sound.
As long as you don't have a large head I recommend the midrange sennheisers. But the key for you is to figure out what you want from your headphones. You can either go balanced or pick what you want to be good and accept other areas have to be sacrificed. I highly recommend going to a high-end electronics shop to try out headphones in person.
I tend to agree with other people that you should get normal headphones then attach a mic. Unless you're doing voice recording or use skype all the time...there is no need for an expensive mic, and the quality you sacrifice does not make up for an integrated mic...at all. You can easily salvage a decent mic from an old headset or order a clip one for <$10.
In short, go with their recommendation if all you plan to use them for is gaming...they are at a good price-performance ratio right now.