Airlines will allow you to use your own headphones, but most airlines have a different headphone jack than is commonly available on most headphones -- using two 1/8" jacks instead of a single 1/8" jack. Not to worry -- adapters are available. In fact, Air Canada's headphones used to be nothing more than regular headphones already plugged into the necessary adapter instead of hardwired. Check at Radio Shack -- I have often found these small stores to have a wealth of such obscure items.
Neil