Sony's brand-new MDR-NC200D high-end headset is boasted to reduce ambient noise when in transit by up to 98.2 percent. Nothing is perfect, but that is pretty darn close.
When testing this headset myself, I found that to be true for the most part. Inversely, if the volume of the audio emitting from the headphones is quite loud, it's possible for others to hear what your listening to -- albeit a bit muffled. That could be bad if you're embarrased some of your iPod's content. (Bieber?)