I use Bose Acoustic Quiet-Comfort 2 or whatever the hell they are, UE-10 Pro's for short flights and such, and an iPod. I was going to go for an Archos but I haven't heard too many great reviews on it.
I have a Sharp IM-MT899 NetMD and some nice Sony headphones that curve over the back of your ear and extend into your ear. They're comfy to me, but not to some other people. I also have this 256MB Rollei MP3 with a built in FM Radio, though the sound quality of that thing is miles behind the Sharp MD, but it's also much smaller and lighter.
Use Plane Quiet Mark5 ... a copy of the Bose Noise Cancelling Headphones.
I Love these because they are relatively cheap $70.00 and also Increases the Volume which I feel is a handy feature that the Bose lacks. http://www.thetravelinsider.info/2003/0620.htm
I have a sony Foldable behind the neck headphones. Pretty cool headphones. MSRP at the time was $50. Got it with my Clie so it was free.. and I use my Clie and Pocket Tunes to play OGG files. There should be another selection.. lol
I also switch around to my Mp3 player every now and then.