I use a pair of
Etymōtic ER-4p earphones and they work good for me. Very precise sound, and their noise blocking really helps. I can drop the volume of my DAP to -35 to -40 dB usually. I tried some Shure earbuds but they were too boomy for my tastes; however, those weren't super high-end.
Avoid noise cancellation if you can, like those crappy Bose headphones they sell in magazines. That is just introducing noise to try and cancel noise, and can only do so much as the noise is usually omnidirectional.
What I don't like about the ER-4p's is that their tiny replaceable membrane filters are quite expensive ($2 ea if I recall); so try to preserve them if you can. The tri-flange covers also don't fit my ears perfectly, but I have a smaller ear canal than a lot of people.
Overall, I've never felt any need to replace them after 5-7 year, and they sound great on my iRiver H140 with Rockbox (turn on cross-feed too). Good one-time investment.