is called 'closed' - as opposed to the 'open' type which are the norm nowadays. Open phones actually give a better sound quality at a given price point, BUT........
I personally use Sennheiser HD280 Professional 'closed' headphones to cut out extraneous sound in a sometimes noisy office. They are superb, and many experts vote them the best closed model around at the moment. They keep out all but the very loudest of external sounds.
The price isn't superb unfortunately, but the best is hardly ever cheap. They'll set you back around £99 (which includes VAT and postage/packing) and you can see them if you