Yes, in order to fully experience the immersive nature of VR video you will need a headset.
These can range from a few dollars for a cardboard viewer that works with your smartphone, to over $500 for a state-of-the-art Oculus Rift headset which connects to your desktop computer.
If you have a compatibile Samsung phone (Galaxy S6, Galaxy S6 Edge, Galaxy S6 Edge+, Samsung Galaxy Note 5, Galaxy S7, Galaxy S7 Edge) the Gear VR can be a great mid-range option for around $70 to $80.