If it’s late at night I’ll use headphones so as not to wake housemates and neighbours. And I only use headphones for games where I need a mic, so pretty much only in CS, CSS, CoD4 and L4D. All single player games I use the speakers.
With movies, like I said, only late at night, rest of the time I let the Z-5500Ds decode the lovely, lovely dts and AC3.