Noise Cancelling Headphones
Evan Schaeffer of Notes from the Legal Underground talks about the Bose noise cancelling headphones. I agree with Evan, noise cancelling headphones are great on planes. They don' reduce all of the noise, but can reduce about 75% of it. I often take my headphones and turn on the noise cancelling without plugging them in. This allows me to sleep and/or avoid a headache from the vibration.
I prefer the Sony MDR-NC11 noise cancelling headphones. They're small and lightweight, but the cords do get tangled easily. They get great sound and are $150. I don't know how the Sony compares to the Bose in sound, but my guess is you wouldn't go wrong with either one. You can check out the CNet reviews here and buy the headphones from Sony here.
I have two of the Sony's along with a $5 headphone splitter, so that my wife and I can both watch movies on the plane.
[Update] Buzz Bruggeman raves over the Etymotic ER-6i headphones. While not noise cancelling, the ear buds go deep into the ear, which minimizes outside noise.