I play CS:S competitively and I use Sennheiser PC161/166's (headphones are the same, 166 version comes with a USB inline soundcard adapter).
You can hear the sounds and where they are perfectly well with them. No need to spend more (i've demoed more expensive models and to be honest, it doesnt improve the directional sound, only the sound quality).
Perhaps the Senny 350's would be worthwhile if you want the extra sound quality, but there really is no need to spend more. Then again, my hearing is somewhat sensitive so I might be getting more out of the 161's than other people would.
The mic on them is spanktastic too
To be honest, its probably more to do with your soundcard setup than your headphones if you already have a decent pair but cant pinpoint where sounds come from in game. If you are using onboard sound, get a soundcard. Lots of people say that the onboard chips are damn good nowadays, they may well be, but have they been implemented correctly as well? Generally, no. lol. Either fiddle about with the settings regardless of what you have, or upgrade to a soundcard from onboard sound if you are using it.