I bought a pair of MDR-NC5s for a recent airplane ride and they are the coolest thing in the world! You can use them with or without a Walkman or CD Walkman or whatever. They've got a built-in mic which phase- reverses the ambience to your ears, plus a filter which rolls off 300 Hz and below (gets rid of almost all airplane engine rumble as well as a lot of the subway rumble in NYC). They're not perfect, however. Because the low end is filtered out, it seems like you hear all this high end, but really you were hearing it anyway. Plus, there's some slightly odd stuff that happens with the music you're listening to, but I found that I can turn the volume down on my CD Walkman since with the noise-canceling feature turned on, it increases the volume and the bass response is better. They come in three varieties:
MDR-NC10 (in-ear tiny things) $150
MDR-NC5 (open air-I have these) $100
MDR-NC20 (full-size, total ear coverage) $175