If you want to properly enjoy a game while sitting on the bus, or stay up late playing Dead Space on your Xperia Play after your other half has fallen asleep, you'll probably want -no, need - to invest in a set of decent headphones.
A good pair of in-ear 'phones can make a huge difference to how immersed you can become in any game, and there's no shortage of headphone manufacturers wanting to part you with your money for headphones to replace the rubbish pair you got with your phone.
Headphones made by hearing aid makers... I can't say that doesn't make sense. Interesting and enlightening.