I ride about an hour each way to work every day and listen to audiobooks. Keeps me entertained but I can still hear everything around me. I use the old Sennheiser CX200's, they fit in my ear nicely so my ears aren't killing me by the time I get home. And they're pretty good at blocking wind noise out.
It's illegal in QLD, Australia too but it's easy to just stuff them in my jacket if I get pulled over.
I have the same problem though when I ride without them in and think 'WHAT WAS THAT NOISE?!'