In-ear headphones are great, and you can even make your own noise-isolating pair for under a dollar. However, for a few more bucks and a bit more work, you can DIY a pair of in-ear monitors custom fit to your ears.
Just like the $US1 noise-isolating earbuds, this project is basically replacing your headphone's sleeves and with some more comfortable earplugs. Instead of just some cheap foam earplugs, though (which not only get dirty pretty quickly, but don't perfectly contour to everybody's ear shape), you use a DIY custom earplug kit for a super comfortable seal. To make them, you just form the silicone earplugs as normal, but stick your headphones into the other end. Once it sets, you can cut out a hole for the sound to actually travel through, after which you've got a seriously comfortable, noise-isolating set of earbuds. Hit the link for the full instructions.