In the UK you can claim back your upper rate tax on a new headset. Its pretty easy to do. And I think you can buy one every 5 years.
Quick Caveat on that. Only if you're company do not provide one (either a personal one or one fitted to the aircraft) and you have to fill out a tax return to claim it back . If you buy one on the 6th of april 2011 you can only claim it back after the 5th of april 2012.
I personally use a bose A20 on the on the 757. I have sector lengths up to 6 hours, and at the end of those i do need a break from the weight. However the noise cancellation is amazing.
I did consider the Uflymike and for a captain it's a fantastic solution. but for an f/o (i.e. me) not so good as the mike (can only be fitted to the left ear piece on the qc-15) prevents easy off-ear communications (i.e. in my case before engine start or conversations with people not on the intercom such as cabin crew or jump seating crew)
I spent many years without noise cancelling, and with it (even though my hearing is probably slightly worse) I miss less ATC calls, i turn the volume down much more, and i feel more refreshed at the end of a 12-14 hour day.