It's in order to block out noise from the surrounding environment, to prevent the players from hearing the commentary or tell-tale cues from the crowd. The GSL and other big tournaments can get very loud at peak attendance so measures need to be taken accordingly.
The actual game sound is broadcast through the white pair of earbuds. Then, to block out external noises, white noise is fed into the large pair of headphones on their head. This way the player can only hear the game sounds.
So in that sense, this isn't actually about the player cheating, but rather about preventing them from doing so using the crowd/commentary.
MLG has some additional sound-blocking measures; not only do the sound-dampening headphones the players wear generate white noise, the sound-proof booths themselves are equipped with A/C and white-noise generators, for additional security.