Given the three criteria you listed, I'm going to change my recommendation from the ATH-M50 to the AD-700 (both Audio Technica). It is not that I particularly like Audio Technica, they just happen to have products that meet your specification and price range.
There are two types of over-ear headphones: Open-back and Closed-back. Open back works better with Dolby Headphone and other simulated surround effects because it has a "wider soundstage." Think of it like going to an outdoor concert. Closed-back headphones, by contrast, feel more like listening to a band in the studio, which does not play as well with positional audio effects. The benefit of open-back is that they tend to breath better and be more comfortable, and generally offer an experience closer to being live. Closed-back headphones offer better low-end extension, meaning better bass. Kick drums are thumpier and roaring engines have more presence.
So I would recommend the AD-700 or a pair of Grado on-ear headphones like the SR-125i, which is also available through your retailer. I would personally choose the Grado, but this is very much a personal decision. You will need to read some reviews and decide for yourself. The AD-700 is widely considered an excellent gaming headphone.
As for a sound card, I would wait. That particular motherboard has an excellent audio chipset (for a mobo), even if it lacks Dolby Headphone or CMSS-3D (your motherboard has excellent surround support, but this is for home theater, not headphones). There is no reason you need to install a sound card right away, regardless. You may get your headphones and say, "This is awesome, I don't need anything more!" Or you might decide you want the surround processing, in which case you can go down that road, too. The point is that - from a consumer standpoint - there is no reason to buy bothright now. The sound card requires headphones to do anything, so start with the headphones, and buy the card if you feel you need it later.
As for how Dolby Headphone and CMSS-3D (the latter of which is Creative's version of Dolby Headphone, which is fine) work, they basically take two-channel audio and create a "surround" effect. Most headsets that claim to be 5.1 or 7.1 are, in fact, just regular headphones with the aforementioned processing.
One final suggestion is that you consider the Astro Mixamp. You can run an optical cable from your motherboard to the Mixamp, and get the benefit of a headphone amp, external volume control, and Dolby Headphone processing in one shot. You'll pay for it, though.
Good luck,
Boz
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