The DualShock 4 controller for the PlayStation 4 features an audio port 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
To change the audio output, connect the headset to your DualShock 4 controller and then go to Settings. Next select Sound and Screen, click Audio Output Settings, and then select Output to Headphones. Select All Audio instead of Chat Audio to make the change.
N.B. This option is only available when a headset is connected to the controller. It will also automatically mute the sound on your TV.