Yeah, headphones is going to get you better sound quality, but I don't think I could live with just a set of headphones. Unless you get some really nice ones, I'd think that you wouldn't want to wear them for hours on end. I also don't really like watching a movie with headphones unless it's late at night and I'm forced to. I think it's more of a movie experience if you're not closed into a set of headphones and attached to a cord
What kind of budget are we talking here?
Klipsch Promedias or the Swan M200s are nice sets for the money.