When I'm practicing, I use earmuffs. These are the ones my local hardware store had:
http://www.aosafety.com/aosafety.co...num=90540&con_family_id=52&con_platform_id=12
I have a larger-than-average head, and they fit well. When I'm playing to a record, I stick earbuds in my ears, put the earmuffs on, and go crazy.
For live playing, I use the ER-20s by Etymotic Research. They're rebranded in a whole bunch of different ways, but the plugs are pretty much the same.
http://www.etymotic.com/ephp/er20.aspx
I bought mine from Sensaphonics. They make custom earplugs, in-ear monitors, and whatnot, and they're also in Chicago where I live. They sell these earplugs for $10, plus shipping if you need it.
http://www.sensaphonics.com/
You can get similar earplugs at Guitar Center, and probably other music stores. I like these because the rubber is really soft, so they don't bug me wearing them through long gigs.
Protecting your ears is really, really important, and it's not hard to do. The foam earplugs will do the job, but as far as cheap earplugs go, I think these sound the best. If you can drop $150 on custom ones, that would be even better sound-wise, but the protection of your ears is about them same if you wear these correctly.