At the gym, I use Etymotic's Er-6. They're surprisingly comfortable
and overall have a nice tight sound. They are a little weak at the low
end but otherwise fairly accurate. They fit right inside your ear so
they are good at blocking out other sounds. I wouldn't use them for
jogging, though, they are too good at blocking outside sounds to be
safe to be used outdoors. Also, don't play them too loud because you
can definately fatigue your ears. What's nice about them though, is
that you CAN turn the volume way down. They sound great with the
volume way down and the equalization set to "classical". Read the
insertion instructions! I thought I didn't have to read the
instructions, who doesn't know how to put ear plugs in? I was wrong
though, you really need to get them in right.

On airplanes I like to use Sennheiser's HDC 451-1 Noise-Canceling
Headphones. Very comfortable, nice sound and they fold up for easy
storage. I wouldn't call them the BEST headphones but for $99, they
are very good and very portable.