Well, my first sound system was with some Logitech Z-560 speakers. You know, those 400Watt RMS bad boys.

I love these speakers. For gaming, hearing loud sound move through all the furniture around you really added to the realism,
especially when the woofer would kick in during explosions and you'd feel the floor shake :)

Then I got some Sennheiser HD595 Hi-Fi headphones and they do provide better quality sound but for gaming I prefer
big ass speakers because it just sounds so much more realistic.

Oh and I always use a sound card. I've got the same setup as the guy above with the Creative eXtreme music card.

My favourite would be the Battlefield franchise.
Great theme music and great gameplay. Always a popular game with tons of servers to play on.

I guess I can think of many others but that one would be my favourite.