I recently was tasked with writing an article reviewing noise canceling head phones for Fortune Magazine. I reviewed Creative Aurvana X-Fi, Bose QuietComfort 3, Genius GHP-04NC, JVC HA-NCX78 and Sennheiser PXC 450.
Read the full article, you can find the PDF here.
Aaron Fulkerson 
The Etymotic hf2 are the BEST in my opinion. I couldn't fit it into the article though because I received them late.
Very cool article.
I have tried a few of the cheaper and older types of noise cancelling headphones and have found that you do indeed get what you pay for.
I will have to try the JVC headphones out. I too like the bud style earphones the best for comfort. Falling to sleep with the bulky ones is near impossible.