Yea, most of them have a little piscture of, you guessed it, head/earphones.
I used earphones once just to see what the difference was, you hear a lot more stuff, like the ndaes bouncing off the walls/floors when they land and stuff, its cool.
It was nothing permanant though, the cable is only about 2-3ft long so thats no good for playing all the time. I know I could move my PS2 closer, but then I would have to move my internet reciver, DVD player, an a few other things.
I would reccomend doing this, but if you have parents like mine, you might your mom storming in your room shouting because you didnt hear her call you from downstairs.