In-ear headphones from Koss that both fit well and have good sound isolation. They come with noise cancelling that blocks all unwanted noise around you.
From Amazon
Koss "The Plug Noise" Isolating In-Ear Headphones (3.5 mm Jack) for iPhone/iPad/iPod/MP3 Players/Samsung/Smartphones - Black
Discount Discs
Koss The Plug Noise Isolating In-Ear Headphones - Silver / Black
Farnell
Koss Kh-4020 Koss Earbud Headphones
OnBuy
Koss The Plug The Plug In-Ear Headphones, Blue