Surprisingly the Xbox 360e has a 3.5mm headset jack on the back... but it is listed as AV/component on spec docs. Mine even came with the AV cables shown below (composite video & stereo - red, yellow, white), using this port. I wanted to test out my existing 3.5mm headphones for game audio (versus chat only via the controller port). We likely all have a pair of these headphones around the house.
I set out on a cheap way to properly... well working way... to connect a pair of existing 3.5mm headphones with volume control. Keep in mind you'll need to turn down your TVs built in speakers.
I went with a KabelDirekt 10 foot 3.5mm male to 3.5mm female + Inline Volume Control for 3.5MM Headphones + Exiting Pair of 3.5mm noise canceling headphones.
$10.19 + $6.99 = $17.88 shipped on Amazon. Can't beat under $20 bucks.
Now I can crank up... or down... some Halo 3 without worrying about being too loud. It also reminds me of the glorious headset jack on the model 1 Genesis!
EDIT/ADD: I highly recommend you check out the thread below where I ask the RB resident audiophiles to chime in. They recommend amps to better get this set up done. We also discussed accomplishing this on ALL retro consoles with RCA cables:
Audiophile Help - 3.5mm Headphone on ALL Retro Consoles


