I only tried it that way once, so don't really take anything I'm saying here as very factual. I thought everything sounded worse when plugged into the controller. It could just be that the volume mix changes.
I was playing COD with someone in my party, so it really hurt things that plugging directly in takes away the balance slider between game and party chat. Suddenly party voices were loud as hell. Everything was loud as hell, really. The volume controls don't work on the headset when plugged in, either.
It's possible that you can tweak all of this stuff in the system sound settings when you're plugged in this way, but I felt like the 3D audio effect was worse as well. Again, this is all based on like 20 minutes of using the headset this way before saying fuck it and deciding I needed to remember to charge my headset more often.