I bought a noise canceling headphone yesterday and it works perfectly. The only problem I have is that when I myself talk, I cannot hear my voice correctly. I'm wondered if it is possible to enable the microphone sound feedback in the audio output while the headphone is connected? I have a MacBook Pro with MacOS 10.6 installed.
LineIn from Rogue Amoeba lets you route any sound input to any output. Freeware.
You can use GarageBand as well (see this answer) simply create a new project with voice and set monitor to on. You don't need to record to hear your voice.
Mentioned by User5549 (above). LineIn from Rogue Amoeba lets you route any sound input to any output - It has been updated and now works without a delay in the audio play thru! and it's freeware.