As a rule of thumb if your music is uncomfortable to listen to then it's too loud. If you can't hear external sounds with your headphones on, again, it's probably too loud.
Lots of people use their volume button to drown out other noise around them, for instance the sound of traffic, trains or other people talking: the list goes on! So headphones that isolate you from background noise could help you to protect your hearing. The idea is that if the background noise is reduced, you won't need to turn up the volume of your music so much to hear it above the noise, so reducing your noise exposure and risk of damage to hearing.
If you spend a lot of time in noisy pubs, gigs and clubs as well, you could be over-exposing your hearing and risking permanent damage.
Read more about how to protect your hearing.
These are the type that DJs use and are the largest type of headphones, so they can be quite heavy. They cover the whole ear so can reduce background noise considerably.
Sit on the ear (but not completely over the ear). Not quite as comfortable as over ear headphones, but smaller and lighter to wear.
These are generally quite cheap and are normally supplied with personal audio equipment, for instance MP3 players and personal CD players. They sit in the ear and because of that they don’t block out background noises very well, and sound can easily escape. In places where there is background noise, you might find you have to turn the volume of your audio player up a lot so you can hear what you are listening to.
These differ from standard earphones because they are designed to fit so well into your ear canal that they prevent outside noise from entering your ear. They are a better fit because they are smaller and have foam or plastic earpads that you attach to the earphone, before you put it in your ear. This better fit keeps external sounds out, and limits sound leakage. They look similar to earphones but are normally more expensive because they tend to be built to a higher standard, and produce better audio.
These headphones are significantly different from the others as they use noise-cancelling technology to actively block out background noise, rather than simple sound isolation. The headphones are made with an electronic circuit, and a microphone that is located in the headphone or in a separate device. The microphone picks up external noises and relays them to the circuit which then creates an 'anti-noise'. The external noise and 'anti-noise' cancel one another out so all you hear is the music being played. With a good pair of noise cancelling headphones, if you move from a quiet environment to a noisy one there should be little or no need to increase the volume.
These work better in environments where there is a constant noise (think of a hum or a drone) such as on aeroplanes and trains. They are not so good at blocking out conversations or other erratic sounds. The microphone and circuit have to be powered by a battery (which obviously has to be replaced) so they may be bulkier than other types.
There are a lot of suppliers selling these. You might want to look at the RNID online shop for starters.