I found a decent set of over the ears stereo heaphones with padding for $15 at a local outlet store. These will serve as the Subwoofer and Center Channel.
You'll also need two sets of cheap earbuds. One will serve as the Front Speakers, and the other as the Rear Speakers.
Now, before we go on, I will say that I fully realize that there is really no such thing as 5.1 Surround Headphones in the traditional sense of the word. This design does, however, closely match that of the high-end "5.1 Surround" headsets, such as the ones reviewed at http://www.extrememhz.com/ezonics638-p1.shtml