Do you have roommates who will be near you while you game, or is it ok if your headphones are not completely soundproof? If the latter, I think open earphones sound better and are more comfortable to wear for extended periods.
What price range are you looking for?
You can find something ok for under $30, something nice for under $100, something really
nice for under $200, and the sky is the limit beyond that.
If open and ~$100 works for you, I'd recommend this pair
or this pair.