The DualShock 4 controller of the PlayStation 4 features an audio port for you to plug-in your headset. Headsets are primarily intended for voice chat, but you can also use them as your primary audio output source.
Send Audio to Headsets on the PS4
First connect the headset to your DualShock 4 controller and the go to Settings > Sound and Screen > Audio Output Settings > Output to Headphones. Select All Audio instead of Chat Audio.
N.B. This option is only available when a headset is connected to the controller. Furthermore, it will automatically mute the sounds on your TV.