From my experience with USB Headsets (not headphones, exactly, but same concept) you need to specify the device to use for audio output.
For instance, in XMMS, going to Options -> Preferences -> Audio I/O Plugins tab, will show a page with an "Output Configuration" section. If you click "Configure" there, it will open up a dialog box with an "Audio Device" selection.
On my system, when the USB headset is connected, it appears in this dropdown box as "Logitech USB Headset". I just have to select it and then hit apply, and the audio works fine.
Now, this is with ALSA, if you are using OSS, instead of being able to select the device in the dropdown box, you will need to manually specify the mixer for the device.