Look for a set of "closed" headphones. They typically have a band of foam on the outer edge to seal around your ear and block out ambient noise.
They are more for home use than portables, so many come with a long cord and a 1/4" plug. But, if they do, you can just tie up the extra cord and get an adapter at Radio Shack for the plug if you use it on a portable.
I know Koss makes some decent headphones of this type at a reasonable price. www.koss.com And there are a few other more expensive audiophile quality brands out there.
