The headphones available on the plane (whether for purchase or for free) are usually of poor quality and their comfort level is low. They are also not designed to cancel out the surrounding noise. Instead, bring your own noise-canceling headphones or in-ear headphones.
High quality noise-isolating (different from noise canceling) headphones, or noise canceling headphones are preferred by travelers. They can make a world of difference by reducing the plane noise to a mere background hum and allow you to fall asleep to your music in a quiet environment.
Headphones are also great for discouraging a talking seat mate. Whether you’re actually listening to music or not, put the headphones on to look like you are.
I love my noise-cancelling headphones. When I’m ready to doze off, I tune my iPod to Enya or soft classical music and the sounds in the plane fly out the window.
For a recent report on the 5 Best Headphones read http://reviews.cnet.com/best-headphones.