I Imported my X41's before they were available in the UK and have loved 'em ever since.
Yes there is a slight hiss when there is no sound playing but as soon as the music or sound effects start it's not noticable at all.
The surround sound is fairly damned accurate (I am now useless without them in FPS's!) and there is a good depth of sound with the bass boost & stereo expander button active.
The X31's are also a decent set, much the same sound quality but without the surround. (Yes I've used both.)
You do get occasional echo from other peoples headsets but it's not major and very rare. Also some mention interference from other wireless signals, mine are less than 3 feet from my router and I don't get any.
The worst thing about them is that when the batteries die you get a very loud blast of static which has made me shit myself a few times.
(batteries last a good 15 hours GET SOME RECHARGEABLE AAA's!)
The PX5's are obviously the better choice but don't go for the "special" XP500's, they're just PX5's in green with an extra dongle that cuts out the wire between the headset and pad. (Godd Todd This is available seperatly at about £25, probably $30. This works out cheaper to buy the PX5's plus the dongle!)
Astro's are fantastic, but bloody expensive (£240) compared to £80 odd for X41's.
Shop around on the net and you should get a good deal.
Also look out for the new Tritton (Don't let the Madcatz lable put you off, they bought Tritton) Warhead set coming soon, xbox branded and completely wireless.