I always find closed-ear headphones to be uncomfortable after 20 minutes.
Etymotics was one of the first proper ear canal buds, and they still are a leader. They make the majority of
musician's ear plugs, that attenuate all frequencies so you can hear clearly at -20db or more.
They come with an alternate foam tip deal that removes the outside world pretty completely. These work like the E.A.R.S. and the Hearos foam plugs: you squeeze the foam, fit it into your ear canal, and the foam expands until it's a tight fit. At that point the outside world is cut off.