I have a really nice set of Sennheiser headphones. They don't have active noise canceling, but the physical insulation they provide is good enough to drown out most noise, even without any music playing.

Though I rarely play music very loud (I'm a musician, and very protective of my hearing), I still find the headphones to be tiring to wear for hours at a time. I've found this to be true even when I'm not playing any music at all. It seems to be something about the air pressure, or perhaps not being able to hear any background noise at all, that makes them tiring to use.