Active noise canceling headphones (which is what I think you're referring to) probably wouldn't be much help in shielding you from Ozzy/Sabbath. They don't usually cancel arbitrary waveforms (like music) and are not so effective in the ranges of voice. They are good for constant humming sounds like airplane engines and fans.

You're better off trying some in-ear headphones -- not the kind that just sit on your outer ear, but the ones that squish into the ear canals. They can be had from the very affordable (JVC "marshmallows" can be had for $15 on sale, normal $24) to the reasonable ($70 for really excellent etymotic ER6i) to the obscenely expensive. All though they take a little getting used to, they will cut random office noise significantly. I plug them in when people in the conference room next door have open-door meetings and presentations, or the guy across the hall decides to have a conference call on his cheap microphone that requires him to virtually shout his conversation.

Another advantage is that because they block out most of the ambient sound, you can keep the volume at much lower levels.