I've had about any type of headphones, including wireless, wired, IR over the head, behind the neck, near your ear, clipping your toe-nails, absolutelly every type....
My personal favourites are the in-ear cannal phones... They reign supreme. They block out outside noise, output beatifull music and save player battery life beacause you DON'T have to turn the player really all the way up to enjoy the clarity.
Personally i find them best suited for public transport, blocking out most of the citty's unpleasant noises and car-horns. And you don't bother the people arround you if you want to listen to a stupid track once in a while... :P
My advice: try one pair put, but before you do make shure tey're quality ones: Sennheiser (i own a pair of CX 300s) , Shure, Etymotic, Creative Aurvana, AKG, Ultimate Ears ($$$
)... all are good.
You'll be absolutelly impressed from the first try.