Basically I've tried many different headphones with PSP and those in-ear ones that give you good bass but I have found that they lack rich treble.
So this is solely my opinion but the best headphones in terms of quality I've had so far were... the official Sony headset for PSP:
Which also comes with remote control extension so that you can use the microphone too in games and for Go!Messenger and Skype. These headsets are available from Amazon (com/co.uk) but make sure you pick the right one for your PSP as the remote control plug is different in 1000 model than it is in 2000/3000.
They make noise canceling headphones that are great for use on the planes. But it is Sony's policy to care about your ears so they can't really make it more powerful as it then could damage your hearing.