So initially, I was very unimpressed with the sounds and effects while playing. Its a tech preview so whatever but after seeing that awesome YouTube video where the 343 guys were out recording actual weapons and explosions in various settings, I was expecting to be wowed. I use a Turtle Beach Stealth 700.
Last night, the headset died and I plugged in my backup headset. Im not even sure what it is but its wired and from Turtle Beach also. The sounds and effects were completely different. Much better all around. This headset is way worse when used in H5. The wireless in H5 allows me to hear people coming behind me, footsteps, and directional audio but it was the opposite on Infinite.
Anyone else test two different headsets and have a difference. Maybe Im crazy?
Yes, headphones can get into the thousands of dollars. I’d reckon that you are still missing out on much of the fantastic sound design. I use a (relatively cheap) set of AKG K553 MKIIs that have a “flat” response so the audio design shines through as intended. Professional-grade headphones will give this kind of response, while consumer-grade will introduce a sound signature (typically elevating the bass).
My guess is that you are getting an overpowering mix of bass with your Turtle Beach headsets. But some people equate bass with “good,” so to each their own.
Lastly, wired headphones will always sound better than wireless.
Maybe I was rambling a bit.
My “good” headset that sounds great on other games sounds awful on Infinite. My “cheap” headset that is normally bad, sounds much better. 
I’ve got the Astro A40’s and the game sounds really crisp and clear. Loving the sound design so far.
I use a 5.1 sound system with linear playback and a good subwoofer. I’m really impressed with the sound, everything sounds very clear and powerful. The only drawback for me is that Plasma Weapons / Needler are too quiet for my taste.