Absolutely, no doubt about it, the only way to run a dungeon in a group in WoW. We ran Scarlet Monastery without them, but formulating strategy was difficult at best. Last night, with headsets, a highly successful Uldaman run ran smooth as a baby's bottom.
Only problem was a bit of feedback and garbled sound on iChat, but using Skype – which sounds flawless takes up to much bandwidth on slower computers to play the game smoothly. Worth a couple minutes and twenty five dollars, because, really have you ever seen anything more gloriously nerdy than this headset?!