I don't shill. Never have, never will. I only suggest things to my cohort if I actually like and use them. So I'll start documenting some of those things here.
First off: Ultimate Ears Super.Fi headphones. I got a pair of these for free several months ago, and I love them. These are in-ear headphones - they actually slide into your ear canal - with silicone rubber earpieces. They are very small, and provide very good isolation.
Those last two points are critical for me - I've been doing a lot of traveling and this has typically meant lugging 2 pair of additional headphones. One "noise-cancelling" set for the plane rides, one "normal" set of Sony StreetStyle cans for regular walking around (the noise-cancelling 'phones are enormous, not that good, and require their own battery!).
The Ultimate Ears have replaced everything. They fit in a tiny metal box not much bigger than an Altoids case. Their isolation is so good that they remove the need for any noise cancelling. And because the drivers are so close to your ear, they don't suck up a ton of power.
They also sound really, really good, if a bit bass-shy. There are fancier versions one can purchase that have better bass response, but hey, these were free, and a little "custom EQ" on the ol' MP3 player fixes that right up. They are some of the clearest headphones I've ever used, and in my 20+ years of making music, I've tried a lot.
They're also not entirely suitable for working out, as the fit is so tight that foot impacts cause conduction noise - the vibration from your feet/body shakes the earpiece which shakes the air in your ear canal. It's not awful, but I'll stick to my "workout" headphones.
Note also that some people really hate the feeling of having things stuck in their ear canal, and it takes some experimentation to find out which of the 4 types of plugs they ship the headphones with work best for you.
Regardless, I liked these so much, I gave sets as gifts last Christmas.