Most important thing when buying headphones is don't cheap it. You do get what you pay for, but there is a point of diminshing returns--and a couple of manufacturers that have artificially inflated prices that should be avoided.
Firstly, Bose and Beats should be avoided like the plague that they are. Not going to get into why, but some web-fu on the buyers part should answer any specific questions. The short answer is they're way over-priced for what they are.
Stay away from 5.1/7.2/9.5 or whathaveyou. Gimmicks. Large quality drivers are what matters, not marketing fooferaw.
Personally, I think the best way to go is quality cans and a clip-on or desktop mic. Some superb cans are available in the $100 range and these sorts of mics are perfectly functional and quite inexpensive (for gaming I mostly use Audiotechnica AD700 cans and a Logitech desktop mic). The only downside is if you run the mic open (and you shouldn't...), it'll pick up a lot of keyboard noise and the like.
Some of the dedicated gaming headsets like those from Corsair seem to be pretty decent all-around choices, but quality of these always concerns me. The Corsair isn't bad, but I don't think it would hold up over time as well as something in the same price range from the likes of Sennheiser, Audiotechnica, Beyerdynamic, or Grado. You do pay for the mic system, which is largely why I feel it should be divorced from the cans themselves.
The matter of open vs. closed, earpads, retention and the like is mostly personal preference. It's kinda hard to audition cans over the internet, but some research can go a long ways here. Also, not every type of headphone is suited to every pursuit. I do use different cans for gaming as opposed to listening to music (and not alway the same one for different kinds of music...and, yes, I have four different headphones).
Console compatibility. Not going to happen. Not with voice coms anyway. The best way is through a seperate headphone amp, but...it just gets ugly. You really need a seperate set of cans for this, and they most likely won't be of the quality level of what you use on the PC. I looked into this at one time, but wasn't willing to deal with the compromises. My consoles stay hooked to the TV and that's that.