ASDA Radcliffe (And probably other stores) have these headsets in at a mere £15.
They work via a TV earphone socket and controller or via an included adapter if you use composite cables, so you can hear everything in the game and everything people say at the same time, also has a built in Microphone.
* Noise-Reduction Ear Cushions
* Twist-Style Ear Cups
* Portable Design
* No Game Audio Bleed
* Voice Chat plus Stereo Game Sound