If you've got an iPod or some other sort of MP3 music player, you should try out the in-ear headphones. These headphone go into the ear canal so you get a lot better blocking of exterior noise and better bass. I don't think they're as quiet or as good as the over-the-eat headphones, but they are a lot smaller.

The only problem with them is that since they block the sound so well, I don't like wearing them when I'm running or biking since I can't hear traffic. But they are great for travel.

CNet has a good review of the various options.