Most speakers usually have a headphone jack, so you can plug in headphones as well. If yours isnt equipped with one, you could get a cable splitter for your front channel - use one to drive your headphones, the other for your speakers.
The Altec AHS302USB looks decent too, a nice advantage is that it comes equipped with both USB as well as regular analog connectors. Havent heard either so cant comment on them :ashamed:
Sound quality wont necessarily decrease if you use USB, rather since you're taking the DAC part out of the computer there would be less noise due to EMI. Of course sound quality still depends on what kind of implementation they use for their DAC.
Non-USB Headsets for under 2.5k - no clue. If looking for just a headphone (i.e. one without a mic), the Sennheiser HD202 is a good choice IMO.