My favourite setup is to use custom ear plugs under my ANR headset.
Etymotic Research, Inc. - Musicians Earplugs High-Fidelity Hearing Protection I've tried CEP's under a David Clark passive headset (with foam tips) and found I got ear pain after 6 hours of flying a day. I'd like to try CEP's with custom molded tips, it might be an improvement but I still feel they will stick out too far into the headset cup and cause pressure issues.
The custom plugs work well for me as I can wear them all day (8 hours +) with no discomfort at all and the musician filters preserve the frequencies while lowering the decibel level (no muffled sound like normal foam ear plugs).
That being said I'm still on a quest for the perfect noise reduction (still suffer from ANR induced wind noise issues with my Lightspeed Zulu) but my comfort issues are all gone.