But for some surround sound, particularly 3D positional computer audio, headphones can actually work better than speakers.
The reason for this is that you've only got two ears. The way you tell whether a sound's in front, behind or above you, rather than just to your left or your right, is by processing the complex differences in phase, time delay and frequency balance that're imparted to differently located sounds by nearby objects (like walls), and by the sonic characteristics of your head.
Your pinnae - the outer parts of your ears - strongly influence sound waves that pass through and bounce off them. 3D game audio uses Head Related Transfer Function (HRTF) algorithms to fake the effects of the pinnae, the head and various listening environments, so that injecting the sound straight into the ear canal can produce the impression of real 3D audio sources.
When you've got HRTF-massaged two-channel audio already, for instance when you're playing a game, headphones are obviously the best way to get the sound into your head. There's no way for speakers to do the job as well, because there's no way for them to stop each ear hearing the sound that's intended for the other.