Speakers make weird noise when volume increases

Headphone speakers might be damaged, but it is also possible that you're overdriving the little amplifier inside the Xbox (or whatever you have the 'phones hooked up to). Try to hook up the 'phones to some other devices (stereo set, DVD player, TV) and see how they behave when you turn the volume up.

Anyway, if you turn the volume up all the way, on whatever device, it's not unlikely that you're overdriving the headphone amp. Try with another pair of 'phones if you have them (borrow them), if these also distort in the same way when you turn the volume all the way up, the problem is not with the 'phones but with the device you use to drive them. The solution would be to back down just a notch on the volume ;)