This has been asked a lot lately...
I recommend my favourite headphones: beyerdynamic Custom One Pro. They're closed cups with an extremely satisfying bass, if you're a basshead. Bass levels can be trimmed by a mechanical switch however, if you don't want it to overshadow footsteps or things like that. Microphone is up to you I guess, I've been using the Blue Snowball.
Sound Card: Audioengine D3 is a formidable USB sound card. And speakers... I dunno I'm not using speakers besides some ultra cheap 20€ Logitech stuff. I mostly use my headphones. But if you really want some good speakers, there are also Audioengine speakers which are considered high-end for a good price. I don't have any personal experience with those however.
In a very similar thread to this one many people are recommending AKG headphones (Q701, K701, K702). They're very good headphones, but they're absolutely merciless. If you're playing strong compressed music like MP3 128kbit or lower for example you'll hear every encoding artifact. That problem shouldn't come up in dynamically generated sounds like in games however, so, yeah. And when I say merciless I mean that these headphones don't taint the sound, they don't brush over weaknesses and encoding artifacts. They almost perfectly reproduce the sound thats being handed to them, so if you have well encoded stuff like 320kbits mp3 or ogg, or even FLAC, you'll be in for a treat.
Other than that, these things are all quite expensive. Might be useful to know your budget
