The Shure E2c "in-ear" headphones are the best headphones I've ever used. They come with foam earplug style or rubber sleeves. They fit right inside of your ear like a hearing aid and the wire slips over your ear and down behind your back. There is no electronic noise cancellation, but the earplug-like sleeves shut out all outside sound and give you incredible sound with no outside noise. Absolutely incredible. My ipod experience just got one notch closer to a religious experience.
UPDATE: Matt from Shure has started a blog. Check it out!
UPDATE: I've started a gadget blog called Joi Ito's Stuff