Not sure what your budget is, but if you want to go big I would buy these bose aerphones. I have an older wired (unfortunately.. ) version of this and the sound quality is great. They come with noise-canceling too!
Half my office has the wireless ones and all of the people are happy with them!
I'm not sure if I want to use these in the GYM every day :)
Yeah, maybe you're right for that price ^^