This pair of headphones from Philips goes around your neck like a neck cushion (as seen in The Office last night) and have a pair of earbuds that go into your ear. When an appropriate sound effect is fired, the neck “brace” rumbles around and lets you feel the action. The Philips Sonic Vibes do look somewhat weird, and hopefully they designed it well enough not to give you permanent neck damage.
These headphones might not work well for games like World of Warcraft, but for first person shooters or more action-oriented games, they might be great. You can pick one up for around £35 or $66.