Another person with this problem.
Problem being that the headphone port is recognised by Win7, but no audio is present at all when headphones are connected to headphone port.
I had phoned apple tech support and they said they can't do anything other than offer me the newest bootcamp drivers (which are already on the OS X install DVD) so no help there.
Beware,
As a similar problem was present with previous revisions of the MBP line, some fixes may pop up when you google something like "no audio headphones MBP"
In looking for a fix, i have found that a lot of websites suggest to install the newest 'realtek hd audio codec' drivers. I wouldn't recommend this, as i have had no joy with any of the realtek drivers that have been suggested. (and ive tried all the recent ones in vista and xp compatibility modes as recommended, as well as normal compatibility modes)
There is also a 'fix' floating around on the internet about sticking a toothpick into your headphone jack to 'reset' it. This also, is not a good idea as this was for problems with the previous MBP detecting an optical out connected to the MBP. Which, unless you have a red light coming from your headphone port, is not the problem. So don't stick things in your headphone socket trying to 'reset' anything.
I have also tried using both win7 32bit and 64 bit, and both give exactly the same problem.
For the record, i'm using a base 13", curently with win7, 32-bit
Unfortunately, after looking into it extensively, I think its a matter of waiting it out and posting bug reports to apple for now.
EDIT: Heres the form to file a bug report
http://www.apple.com/feedback/bootcamp.html