It's completely possible as I've had to do this too many times with my HTPC (I like my headsets, others like the T.V. speakers).
Anyway, although I haven't found a way to do this with stock Windows 7, there's a program called Virtual Audio Cable
that allows exactly this.
First, download & install it:-
Next, go ahead and launch up the new program on your start bar called "Control Panel" (Located at .\Virtual Audio Cable\vcctlpan.exe):-
Go ahead and modify "Cable 1" to how you'd like your sound set up to be, for this example I'll leave it at the default settings. Next, go ahead and launch up "Audio Repeater", there's two versions, a "Kernel Streaming" one and a normal one, personally I've had issues with the Kernel level one (Plays random high pitch noises), so, I'll be using the normal (I presume application level? Driver
Go ahead and select "Line 1" for the wave in and select your first
speaker/headset as Wave out, along with BPS/How many speakers (Mono/stereo/surround) you'd like:-
Launch up another copy of the program and do the exact same thing:-
Do this until all your headsets are connected to line 1. Now go ahead and set line 1 as your default speaker:-
Boom, done. Now I won't feel guilty about leaching off this forum without giving anything back.