On a semi-related note you can get an even better surround effect with headphones than speakers if the source has been recorded binaurally. Part of my Masters course last year had a sound recording option which I audited for fun and I got quite into it and bought a set of binaural microphones. The effect can be astonishing when executed right. However, I don't think this sort of 3d audio can be generated in real time, or at least I don't know of any games that do it.
Overwatch on PC has support for Dolby Atmos, and the Creator's Update for Win10 added support for Dolby Atmos for Headphones which does a realtime
HRTF encoding for fully 3d audio (not quite as good as full-on binaural recording, as Atmos only supports 16 fully dynamic audio channels, with the rest mixed down to a virtual 7.1.4.4 speaker bed). Only downside is that you need to pay $15 to unlock the functionality permanently (although Dolby at least let you try it for 30 days for free), and I think currently the option to pay is unavailable due to some issues with the rollout of the Xbox version of the app.
The Creator's Update also added Windows Sonic for Headphones, which is Microsoft's own HRTF solution (developed for HoloLens initially), which has similar capabilities and is free.
Even better, both of these are (or at least,
will be shortly for Dolby, the app should be available on Xbox in a few days) available on Xbox as of the recent update, meaning any stereo headset will have full 3d audio support once games start using the new
spatial audio APIs (and in the meantime, it offers virtual 7.1 surround support without the need for an external mixamp).
Sony have a headset that has 3d audio support too (the Platinum wireless headset), but unfortunately that uses a USB dongle for the HRTF encoding, so it only works for that one headset, rather than being a system-wide feature that can support any headset like the Xbox solutions (and game support is currently very limited - last I heard Uncharted 4 is the only game that supports it currently, although maybe the latest MLB game also has support?).