Under the system settings on the Xbox (not in the games), you can choose whether chat comes through your speakers or headset. It might be set to not play through the speakers. As to where it comes from, I would assume center channel?
As for is it worth it... ummmmmm, probably not. Unless you're playing with friends, most of the chat isn't helpful or welcome. But YMMV. I sometimes have had good convos on Xbox Live, but playing a popular shooter means you're much more likely to run into a troll.
Xbox Gamertag: Autowobble