Momo
I think it's accepted that the high end Bose headphones are the most effective and give the best sound quality but as you say, they are bulky and when you've got a bag full of other stuff to carry around it's yet more lost space.
As for in-ear headphones a good deal of their perfromence is lost because they never fit in the way that over-ear headphones fit. Generally speaking in-ear headphones are a compromise to size and weight and they will never match the sound quality generated by over-ear.
Sennheiser's PXC range is a good compromise, they are over-ear but they are lightweight and fold up into a small package. I have a pair of PXC300's and they seem to do an effective job, I can't remember how much I paid for them, maybe €180.