Students have used them in sensory deprivation studies, attention studies, and modality studies. Several pairs of headphones are available for presenting auditory stimuli. They are all surface headphones. Do not use earplug headphones in your studies. The choice to use headphones or speakers for presenting auditory stimuli will depend on the study.
Headphones often increase the attention to the stimuli and it is possible to separate the channels.
The use of speakers allows the subject to move freely. If you are using music as a variable in your study, you may prefer to use speakers to provide background stimulation. You might even wish to contrast the two methods. There is a rich literature regarding illusions and the variables which influence our perceptions. Some illusions are developmental - children don't see them, but adults do.