Budget HD201 $20

http://www.amazon.com/Sennheiser-Lightweight-Over-Ear-Binaural-Headphones/dp/B0007XJSQC

Mid Budget HD518 $80

http://www.amazon.com/Sennheiser-HD-518-Headphones-Black/dp/B0042A68R8

4/5 stars thousands of reviews.

Well, I can't help with the TV/monitors, because there's no budget, but I would go this route w/ monitors:

Female RCA and female 3.5mm, FiiO E5 portable amp to use as in-line volume control optional, RCA Audio Cable Adapter for XBOX 360, and HD 201 headphones.

Then all you need is two RCA cables per console and HDMI cables.