Surround sound in action games is awesome. Stuff is constantly coming at you from all sides and if your speakers (or headset) is set up right it pushes the immersion into a whole new dimension.

Currently it's an entirely optional part of games. You're not really missing a vital game mechanic if you don't have it, and if you play mostly RPGs you probably wouldn't need it at all. I'm sure RPGs can/do use it, but it's not as effective as, say, hearing a Covenant alien sneaking up behind you in Halo.