Well... let's consider this. Naming conventions for speaker systems have nothing to do with how many ears we have. I guess that's your stereotypical large electronics store employee for you tough.
But then again, 5.1 headphones should more accurately be named 6.2 headphones or something along those lines, depending on what set you get... considering they all have 2 subwoofer drivers or they would sound horribly unbalanced. But then again, they are named by a different method than non-headphone systems so...
Eagleboy, I would consider our hearing EXTREMELY directional for most of the audible spectrum, just that our sensitivity to volume is a factor that will easily limit it.
So, yes they do exist. You can get Medusa 5.1 headphones for about $125 and Zalman has a model or two that I believe is a bit cheaper. I purchased the Medusas. Didn't like em, bought a high quality stereo pair. Compared them "side by side," the medusas had no chance in any category (besides $75 cheaper).