I would also suggest the Sennheiser PC 360's as someone did earlier in the post. They aren't cheap but you get what you pay for with headphones normally. Great sound especially when playing fps games as the directional sound is very good, meaning that you can hear which direction footsteps are coming from easily. I've heard that the Audio Technica headphones are also very good for gaming, although I haven't used them personally.
Here is a link for some headphone reviews: http://www.head-fi.org/t/534479/mad-lust-envys-headphone-gaming-guide-updated-2-18-13-audeze-lcd-2-added
As for the analogue vs USB question, if you have a dedicated sound card then I would definitely use analogue as they can be plugged directly into the card for better sound (when using USB you are bypassing your sound card). If you are using the on-board motherboard sound then it doesn't matter which you buy really. I would recommend getting a sound card though as you will get much better sound than the on-board can achieve.