I prefer the music to come from the headphones because my in-ear phones can be overly loud, even on the lowest volume setting on my phone. Having music coming from them hours every day had me feeling like I was damaging my hearing.
With earplugs inside noise-canceling phones I still get two layers of sound isolation but have a layer of sound isolation between me and the phones, providing finer volume control so I can add just enough music to finish the job of drowning out loud people around me without hearing damage.