I personally prefer in-ear earphones, because they are usually much more portable and compact than the over-the-ear ones. Sound isolating earphones work pretty well and for me personally makes more sense than sound-cancelling.
I currently use a pair of ultimate ears triple fi's that I got on sale, which I absolutely love. Easily the best pair of earphones i've ever used. Once I have some soft music playing, the outside world is effectively shut out from me.
I've previously used shure headphones, which were pretty decent too. Sennheiser tends to get great reviews as well.
Audiophile equipment gets ridiculously expensive for marginal benefit after a while. For a general consumer, they say the best bang for your buck is about the ~100-200$ range anyway.