The Oculus attached headphones are not bad (and I use them with the Rift quite happily). I also have a proper gaming set, s a pair of studio quality AKGs for my music work plus some active KRK Rokit 5 speakers. But the irritation of using the alternatives, despite the improved sound, means I only use them in the 2D world.
Oculus have just launched the in-ear phones that attach directly to the CV-1. That's my christmas present to myself sorted, assuming they come back in stock in tme! The only downside a review pointed out was that they kind of render your Rift unsharable due to the hygiene risk. My wife enjoyed the 5 minutes or so she spent in the demo, amd my son plays HOI4 - neither are that bothered about VR so not really a problem for me.
If you use another set of headphones and find the volume too low (which you may do if using higher impedence phones such as the AKG) you could also consider a dedicated headphone amp which sits between the soundcard and your headphones. The Fiio A3 is a good one - it won't really improve the quality, but will boost the db output considerably (to the extent that you need to be careful).