A year or two ago I picked up a pair of Audio-Technica ATH-ANC7's from a member on this board. Although they are not cheap, they are great for what they do. I would recommend them if they fit your budget.
Another option would be to look for some IEM's(in ear monitors). You can find them much cheaper and they do a great job of blocking out outside sound. The only downside is that the fit is not for everyone. It seems like most of the major brands have a line, so you should have no problem finding a set at BB or Fry's.