Nearly every modern mboard has integrated audio with a 3.5mm jack, so having an audio card in your computer is almost a given.
While a USB headset does have its own "audio card," that also means that the audio quality is dependent on the headset ( could be a pro or con. ) Should you have a really nice audio card in your computer, a USB only headset won't be able to take advantage of it.
USB headsets can also work on XBox 360 and as voice chat over PS3.
I usually grab headsets that have both just to make sure they can work on everything.