I'm looking for a nice set of cans.

I've found that electronic noise-cancelling cans can be bothersome after a while (perhaps I'm just sensitive to them - they give me the sensation of "sucking on my ears" when they are turned out...). But I've also found that decent in-ear monitors can do a very good job of blocking outside noise. The key is getting a good seal in your ear. Full sized cans will generally sound better of course, but at the cost of additional bulk and less effective noise cancellation (and audibility to your neighbors for open designs).

Pairing a decent set of IEMs with a nice portable amp can be very satisfying, and not necessarily too $$$. Feed it lossless files from a portable device and you're good to go.

I use a Ray Samuels portable amp at work, and bring it with me on planes/trains too, and really like it (its an SR71A). I use it with IEMs (one of the upper-line Shures - can't remember model name - along with UltimateEars TripleFi 10s) plus my full sizers (Beyer T1 and Audez'e LCD2) and it does a great job. It's a great sidekick to a full-blown headphone amp, or a substitute for one in a pinch.

I got an Email from "The Cable Co." a couple days ago. They have started a "head phone" lending library like they have for cables. Hygeine questions aside, it does allow for in-home audition and might be worth checking out.

I 2nd the Headroom recommendation. Purchased Yuin PK2s from them. Not that they will meet your specific need but I listen to Pandora while falling asleep and it doesn't bother my wife. I also think they sound great.

KOSS Sportapro's are great for non-classical music. Two 'audiophile' drawbacks, they don't cost very much, and they have a lifetime warranty. Over the years I have sent a couple of pair back to Koss for repair of replacement.

For other non-portable cans, Senn HD 650 or AKG 702. These aren't small or portable, but they do sound great and after all, what's the point of buying inferior headphones? The best ones aren't that expensive.

I bought a pair of Grados. Listened to them once for about an hour. Extremely uncomfortable.
Cheers.

headroom.com
headfonia.com
headfonics.com
head-direct.com

All of these sites are great starting points for an in depth education on all things headphones, IEMs, portable amps and DACs. From there you can jump to other sites to your hearts pleasure.

As for blocking out ambient noise, there are some IEMs that can do the job quite nicely. Comply foam tips are very good at this as they can lower the outside noise by 25-30db (the same material that shooters use). IEMs can also reduce the geek factor of headphones in public, unless you're not concerned about that.

I presently use my iPod Touch, a Fiio E17 DAC/AMP and a pair of Brainwavz M3s that practically seal out the outside world. An incredible sounding rig for not much lucre. Case in point: today, after a walk, I started my car twice thinking it didn't turn over when it fact it did. Nothing like grinding ones stater motor.

All the best,
Nonoise

Nonoise, very interesting suggestion with the Fiio, how did you connect the iPod t the e17 DAC? can i connect t it via USB?
Thanks