Can anybody suggest a headphone that doesn't annoy the person next to you, at a reasonable price?

As Loren already said... Those gasket-seal Fontopias are the best solution. The rubber gasket seal serves triple duty:

- Turns your ear canal into a sealed bass resonating chamber to improve bass response.

- Seals out external noise. (Good for airplane rides.)

- Seals all the music in. (Good for not annoying the person next to you.)