I use in-ears - the moulded type which fit my ears exactly. However, I only use them in concert situations where I can get a mix sent to the in-ears from the monitor desk or front of house desk. They work for me in this situation, reducing onstage levels by 25db and although this is a lot, I still get a little ambient stage noise, which, with my own mix in the in-ears, adds up to a pretty pleasant and a lot less harmful, playing environment. Expect to pay $600-$800 for decent in-ears plus another $300 for a small headphone amp to plug them into which is then connected to the desk either by cable or by wireless.
If you can't get a separate mix sent to you why not try ear-plugs? There are loads to choose from these days. For example it's possible to buy a pair with interchangable high and low frequency filters. It's also possible to have moulds taken and made into ear plugs. I would suggest if you go this route you should opt for a pair with -15db reduction as -25 is pretty extreme. For jazz gigs (and as protection against shed builders ;-) ), I just use a pair of cheap 'fits all' $15 plugs and find they really work.