I've had excellent luck with this over-the-ear mic. It's cheap, the plug fits your mic input or an extension (cable is kind of short), and sounds FANTASTIC for $12.
Put this mic on first, then wear whatever headphones you want. Perfect.
If you want something really cheap ($14), there's this Pyle model which I wouldn't recommend, but they do work. There are better ones for around $50 to $100 if you choose that route, and if they have good SQ should be more ideal than having a mic stuck in your face.
I have tried clamping mics to the side of my screen, but the distance is too great for most dynamic mics (those require a boom right in your face, which is plain annoying). I haven't tried a condensor, which should be better but also has wider pickup and will grab background noise.