Oculus Rift and HTC Vive Users
Both of these VR headsets do feature built-in microphones. You should be able to find the microphone listed under your Recording Devices while you have the headset plugged in.
For detailed instructions on managing these devices please review this article.
For Mobile VR Users
These VR headsets, like the Samsung GearVR and Google Daydream do not have built-in microphones. However, once your phone is connected into the headset, it will serve as a very effective microphone.