I've been having a conversation with a friend of mine for a little bit the past couple of days, debating the individual merits of playing a game with headphones in vs. playing games with the speakers on.
Personally, I only play with headphones on out of necessity. When I'm in a more crowded or public space, or when people around me are trying to sleep- that's when I play with the headphones on.
My buddy, though, is a big fan of gaming with headphones. Even on his PS4, he plays with headphones connected to the controller. He says it helps him with the immersion, it helps him notice the sound design features more easily.