I watch it with 2.1 Stereo at home, preferably in the dark, if there's no daylight. Sometimes, after 2 AM or so I sometimes get complaints from my parents to turn the noise down, since I like it loud and with Full Bass/Full Treble settings on my Winamp equalizer and some additional external equalizer settings.
If I'm out, I use my cellphone to watch anime and I use Sony's Earbuds. They cancel a lot of noise. The downside of those is that you can't hear cars if you're walking down a street or your friends.