It's called binaural recording and it works like this: a microphone that is shaped like your head (spherical) and has ears records sounds the way humans actually hear things.

When played back through regular stereo headphones, our highly-evolved brains decipher the sounds and “hear” the recording the way we normally would.

Listen to the sound in this video to experience binaural recording. If you like, maybe you can purchase this microphone from Otokinoko for $3899.