When it comes to headphones, I rely on the ultimate headphone geeks, the guys at Headroom. They have a page comparing all the headphones they sell
. If you just want inexpensive sealed 'phones, they love the Sennheiser HD201 ($20).
If you want real serious isolation from surrounding noise, the Shure E2c is the place to start (available for around $65 on sale at Buy.com). These are great sounding, and much more effective at blocking ambient noise than typical "noise cancelling" headphones. But you don't want to try riding a bike with them -- too much isolation from your surroundings. For a bit more money, I think the Etymotic ER-6i ($120) is more comfortable than the Shure's. I've owned both, and ultimately opted for the Etymotics for comfort reasons. YMMV.