I just got the Turtle Beach X3 wireless headset from Best Buy. They support in-game audio and they are fantastic. I played R6V2 last night and there are many audio touches you can't hear from the standard tv speakers. Only drawback I've seen (so far) is they take 2 AAA batteries. I wish it was powered by the controller battery pack.
9/10
Xbox 360 Wireless Headset - Ear Force X3