I'd get a pair of reusable ear plugs to keep with you, and then get some in-the-ear canal headphones for when you want to listen to some music.
For ear plugs I use something like this:
http://earplugstore.stores.yahoo.net/holesmreearp.html
I like these better than the disposable foam ones, was just what I was used to wearing while drumming. Can find them at a decent music store. Never had a problem reusing these. Have used the ones I have for probably a couple of years now without a problem.... drumming, gun range, studying, etc....
For headphones I use these: (Sony in-ear-canal)
http://www.bestbuy.com/site/olspage.jsp?skuId=5335728&type=product&id=1051826204625
I CAN'T stand the normal ear buds that just sit in the ear, not comfortable at all and don't block any outside sound. These pretty much seal off the ear canal so they block a lot of outside sound, give a better bass response, and let me play the music softer. I can be a sound quality snob and for the price these sound great to me. Shure has some really good in-ear-canal ones also, but I think they're at least $100. And usually I'm listening to mp3s so the music's already compressed and has lost some quality anyway. You can also find in-ear-canal phones that have noise canceling also.
I also have a pair of the Bose noise canceling (over the ear) headphones and they sound great, and the noise canceling is among the best out there.... but like was mentioned above, it's really useful for constant low frequency background sounds, like an airplane engine, air-conditioner noise, or just any general single-tone continuous sound.