Also, it depends on which sound card that you have. Splitters work better on my Audigy card than they do on my Asus D2X, because the Asus has slightly closer spacing between the output sockets. I can still use the splitter, but it is somewhat difficult to squeeze it between other connections, if the splitter socket is bound on both sides by the other connections. This is particularly true using Radio Shack's solid splitters, but I'm uncertain if other brands are less fat. There are also Y splitters, which use short lengths of cable to create the split, which may be easier to use.
Since this type of connection is done at the rear of the computer, if you use a wired headset, it will use a few few more feet of the cable to reach you, but I use a Sennheiser cordless, so that presents no problem.