I usually use my crappy Curtis ones that came with my MP3 player just because the neckstrap is conveninent, but I have a pair of these and I like it a lot:
Sennheiser MX500. Pretty decent stuff.
If you're looking to drop some major $$, you can opt for....
The Cadillac of earbuds, $150 US of Noise Cancelling goodness:
Sony MDR-NC11