I have heard ntohing but good things about the Bose headphones. Pricey, however.
I don’t have headphones, but rather the Sony noise-cancelling earphones, the NC10. They don’t create silence, but rather cut back the ambient noise. I ride the subway a lot and use them with my iPod—it really makes a difference. The design alone blocks out most noise already without turning on the noise-cancelling feature, the buds being shaped somewhat like eaplugs!
Hope this helps!