
They aren't cheap, but they'll give you a way better experience. Although it should be noted that many of these solutions will cost you more than the average digital audio player!
The best sound-per-dollar value is in sound isolating in-ear earphones, which are made to slip into your ear canal and reduce interference from external sources. They can deliver some truly remarkable sound and fit into a pouch that's probably no bigger than the music player you're pairing them with.Check out the article at ExtremeTech.