It really depends on what you want to use them for. I prefer to use my Shure E3 in-ear earphones rather than noise cancelling headphones. Personally I find them more comfortable, liighter to wear and carry, small enough to fit in my pocket, and much better for sleeping.
Proper in-ear earphones like the Shure or Etymotic range are sound isolating earphones, while the Bose and other headphones (I have the Sony NC20) are noise cancelling headphones. The noise cancellation is not linear across the audio spectrum, but is most efficient for constand low-frequency sounds like air conditioning and jet engines. But they are useless for blocking a crying baby or talkative seatmate. At best they will provide about 15-18 dB of low frequency constant sound reduction.
A properly fitting, quality in-ear system will provide up to 30dB of full spectrum sound isolation.
However, some people find the in-ear systems to be uncomfortable and the audio isolation is dependent on a good seal with your ear canal. Some people have ears that are shaped such that a good seal is difficult to obtain. Without a good seal, the isolation is not as effective and the low frequency response of the audio drivers is limited.
I picked up a set of E3's for US$135 delivered to a USA address.