Almost all VR systems feature a head mounted device – or a headset. In the past, the primary purpose or the HMD was to envelope the user’s sight and replace it with artificial visuals, placing a display right before the user’s eyes.
Recently this has extended to audio. Most modern HMDs also feature sensors which allow the wider system to track the movement of the user.
HMDs range in price and complexity from a phone held against the user’s face in a cardboard box all the way to dedicated, sensor rich, high resolution and expensive devices.