I always use headphones, but they're nothing special, just an ordinary Plantronics gaming headset. I like plugging into the front panel, it's simply easier.
Mic is a built-in boom type of course.
One problem I previously had with the Audigy 2 ZS was that under Windows 7, I could not, no matter what I did, get the microphone input to work. As far as I was able to determine, this was down to Creative's lousy drivers not working in a 64-bit environment (and, really, who runs a non-x64 OS today?). Which can't be fixed, unfortunately.
Did you ever use any of the third party drivers for the Audigy?