I purchased a rain and thunder recording for .99 from iTunes which I play when I am trying to sleep it drowns out screaming kids and other noises nicely augmenting the noise cancelling headphones. I just put it on loop mode. I find that I don't sleep as well to music as constant white noise kinds of sounds. The rain and thunder somehow just feels more natural than pure white noise. It also works well in hotel rooms when you need to be up at 5am and the guest in the next room staggers into his room with a couple of friends at 2am.
[I have a pair of Bose headphones, but most of the time travel with my MM70s. They are tiny work well on planes and work well in the gym. I'm sure there are beter in ear headphones out there, but they are pretty good and there is a mike that I can use when I am using my iPhone as a phone].