I am in the passive noise cancelling camp
In
Ear
Monitors
Some people buy those "noise cancelling headsets" but I hate whining electronic noise in the background whilst listening to Led Zep thank you
Possibly Shure E2C
Alternatively you could look into closed full sized headphones but I am not sure how well they will guard against train noise, the woman who tells you what stop you are at and the hustle and bustle of a crowded underground station... although I will soon find out myself whenever Apple decide to ship my Nano