It seems quite hard finding the right speakers that sound great to you and also have the headphone jack option on one of the satellite speakers. If a manufacturer could get this right with some great-sounding speakers, I feel I'd be set. However, in the mean-time, I have devised another way to use the speakers I have (Altec Lansing ATP-3) and a set of headphones. First, you'll need to get a stereo "Y" adapter with 1/8" plugs - (1) 1/8" male plug which will plug into your output jack on your sound card, and, (2) 1/8" female output plugs which are on the other end of this "Y" adapter. Then, you plug your speakers into one of the outputs on the adapter and then your headphones into the other one. When using this set-up, ensure that you turn down the volume on your headphones so you don't blow them when you are playing your speakers - or, unplug them from the jack when using the speakers - (I have a 6' extension cable which extends the plug for the headphone which I have laying on my desktop). When using the headphones, you can turn your speakers off via the control on the satellite.
I realize that this may not be the ultimate set-up. However, if you find a set of speakers that you love and the headphone jack isn't included, you can still purchase the speakers and spend about $6.00 for the splitter and cable to give you the headphone option.
Good luck with your purchase!