Finally took the plunge and bought an expensive set of Bose noise cancelling headphones...and I've got to say, they are quickly becoming the most important tool in my shop. With the setting at "full-cancel", noise from my lathe and dust collection vacuums has almost completely gone away. I can even listen to my favorite tunes in complete silence and comfort while turning. This has truly been a life changing experience for me, and I'd recommend that every loud shop user give it a try.
The only issue is staying aware of your surroundings, as you will no longer be able to tell by sound if a tool is running or not...stay safe.
This link is to a YouTube video of an excellent side-by-side review of the two best noise cancelling headphone sets currently available.