Earplugs are a necessity for me: I value my ears, but I also play in loud bands and go to loud shows. Standard foamie earplugs are cheap and get the job done, but they eat high-end frequencies, so everything sounds like you’re underwater.
These earplugs have a much flatter frequency response, and wearing them makes everything sound more natural. At $12 a pair, they’re still affordable, and they come in a keychain carrying case, so you’ll always have them with you. I’ve used these for many years.
Etymotic also makes “musician’s earplugs” — baffles that fit into custom-molded plugs, fitted and sold by audiologists. I’ve owned these, too, and I like the $12 ones as much or more: though the custom-fit type allow even more high-frequency sound through, the ER-20 sounds quite good, and it’s a lot less traumatic if (really when) I lose a pair.