I've been in a few bands over the years and played many rehearsals/gigs (really loud). I've always worn earplugs. It sounds better (live music is nearly always mixed very harshly), it doesn't hurt my ears, I don't damage my hearing, and I don't have to deal with a ringing in my ears for a few days straight.
When I'm doing live sound production I always (when I can get a way with it ) tend to start my house EQ with a sharp slope down at 12k for this very reason- not to mention the usual suspect frequencies. I believe that it helps with ear fatigue for the audience and me.
before i switched to the earbuds/safety muff things, i'd need to get the click up real loud so i could hear it over the drums. it's better now. i can have it way lower.