http://www.amazon.co.uk/Citronic-HP500PRO-DJ-Headphones/dp/B000KDM7DA The bass on them is amazing for the price, they don't spill much at all and they're really comfy. I know it's Citronic which is usually cheap and nasty, but this is one of their items that isn't rubbish.
For gaming (particularly an Elder Scrolls game), bass isn't that important. I'd want a fairly balanced sound, especially if the aim is to "be immersed in skyrims sights and sounds...hear everything skyrim has to offer ".
SickayBoy, you'd best give us a price range. When it comes to audio equipment, "cheap" can easily mean a hundred bucks

(or more).