I found a somewhat convoluted way to do this. You must have some sort of sound board or some way to combine a mini audio cable and Red and White cables. You plug the white and red into your TV's audio out, and connect it to the board. You also get a mini audio cable (the thing that headphones use) with both sides male and plug it into the sound board. Finally you plug your headphones into the output of the sound board.
Oh god. I can't decide. But If I really had to chose one, it would be a really really long Zelda game with a very detailed story that will keep me playing for months. Its would be stunning in graphics and have a beautiful orchestrated soundtrack. The gameplay would be fun and also immersive. I would take the best elements from my favorite Zelda games. Also, the ending would leave me crying. I always love games that make me cry! (Super Paper Mario, Okami, Skyward Sword, etc...)
The Wii remote is always connected wirelessly over buetooth and the classic controller/nunchuck just plugs into the wiimote. You will also need a classic controller for N64 games. If you are talking about Wii mode it depends on the game, but look on the box.