I never fly without my noise canceling headphones. If there's a loud conversation in the seat next to me, or a crying baby, I can tune it out and relax.
Plus, although many people don't realize this, the noise of a modern jetliner, both engine and wind, adds enormously to the stress of the flight. You'll arrive in much better shape if you block out the noise, either with earplugs or with noise cancellation.
Most airline-provided headphones don't block out noise, so you have to turn up the volume quite high to hear anything, which can be harmful to your hearing.
I own a pair of Shure SE210 ($93) in ear noise isolating phones, and the new Bose NC15 noise canceling model. (I've owned previous versions of the Bose NCs, and the 15, at $299, is by far the best). The good thing about the Shures is that they're compact and don't require batteries to operate; plus, I think they capture the high notes better than other options. On the downside, they're not quite as comfortable as over the ear headphones, in my opinion, and you have to put the buds in your ear just right in order to really isolate noise. The Bose NC15 does a better job I think.
If the Bose NC15 is too rich for your wallet, Amazon sells a Sony model for just $33 at present, including free super saver shipping.
But these are hardly the only choices.
Also popular are these Bluetooth phones from Nokia at $200. They have the advantage of being wireless, and will work with your phone as well.
Etymotic headphones are getting high marks on review sites for sound quality, although it seems that many cheaper earphones suffer from poor manufacturing quality and even worse customer support. One model sells for $76 on Amazon.com but read the 1-star reviews.
I'd be interested to learn what your favorite noise canceling or isolation headphones are and why.