I've not tried any, but if you search on google for surround headphones you'll get a few matches, such as
this, which seems to be on of the best (at £75 - a quick look at some reviews suggests anything cheaper is probably not that good).
There are also some on Amazon (search for
surround sound headphones) from under £20!
I don't know which would work with a 360.
You might be better off with a pair of stereo headphones for £60, which would give you much better sound quality, unless you're really intent on having surround sound!