The sound coming from your headphones is great. The sound coming from outside your headphones is not. Here's a DIY project that'll turn your regular set of cans into the soundproof variety.Instructables user dsjackson1 took the Peltor President Hearing Protectors and embedded a pair of KOSS KSC-75 headphones (about $US10, and dsjackson1's pick for the best headphones under $US50) inside of them, using a red and white RCA audio to 3.5mm stereo cable to wire everything up. Check out the Instructables post for the full how-to, or Ian Anderson's slightly higher quality modification. And if you don't need complete silence, these previously posted DIY noise-reduction headphones are another good option.
$25.00 Soundproof HiFi Headphones [Instructables via CNET]