Yes you could buy an amp...you could also spend $4000 dollars or more setting up the "perfect" headphone experience. However, for casual listening, you do not need an amp. I am assuming that you don't want top-of-the-line, but you also don't want to have to cram those tiny pieces of plastic inside your ear anymore. Well, here's my take. Headphones are like speakers. Hell, they are speakers. Everyone has different ears and different tastes. The best way to figure out what suits you is to try out a bunch of models and brands at a big store and then buy the one you like off the net for cheaper. Personally, I own the SONY MDR-V6. They don't make them any more (replaced by the MDR-V600 which incidentally sound worse to me), but I found them online because I liked them so much. A point that seems a little ironic to me, but is nonetheless important, is that the more money you spend on headphones, the better they sound, right? Well, if you are listening to mp3s and games, the more clarity in the headphones, the clearer it becomes that mp3s are compressed audio. You will start to hear distortions and crackles that you previously could not, especially because the speakers are so close to your ear. Thus, in conclusion, you can do no better for yourself than to spend some time trying out different headphones. Yes, Sennheiser may be the best for some, but Sony are the best for others, and others couldn't even tell the difference between the two.
Hint: if you can't tell the difference, buy the cheaper one
Ok, enough rambling. Go try some headphones. Don't buy b/c someone else likes them.