Useful when your drummer is loud. (that china still banging in your head after a session)
The issue with a lot of ear protection is that it doesn't attenuate frequency evenly across the board. In particular, it will tend to reduce treble and mids more than bass, leaving you with a rather muffled sound. There are a number of ear plugs that seek to address this and provide even volume attenuation across the spectrum.
For $10-12 Etymotics sell some that I've heard good things about. For a much more expensive solution, you can get ear plugs custom fitted for your ear canal. These work much better, but are generally over $200. I have friends with these and they say they work very, very well in clubs and at concerts.
I have custom fitted plugs and recommend them highly. Your ears are valuable, delicate, and not as fixable/correctable as your eyes.
Cost was ~$125, if I'm recalling correctly. They should last you several years, but not forever, as your ears keep growing/stretching your entire life. (i.e., 'grandpa ears') The main cost of the plugs is the 'filter' that fits into them. Make sure you ask for a filter appropriate for a musician.
Most audiologists will guarantee the fit for a year or so. My audiologist was also happy to generate (for free) a second set of molds for me so I could get my canal phones set up as custom-fit in-ear monitors. (search the net for places that will take your molds + canal phones and send you back the customized product)
I've used the Etymotics and I recommend them for attending concerts or playing gigs. They're not too bad, and reasonably comfortable - but - do they provide enough protection when being exposed to very loud instruments quite regularly?
I don't think they do. I've stopped wearing them at our regular band practices and now wear normal ear plugs rated at SNR 36 DB.
Ok, most people probably do not want to do this. It seems a bit uncool and potentially extreme. Probably someone would say "your band is playing too loud then!"
Well, yes, they are! The other guys in my band think it's rock n roll to play very loud and ear plugs are not "cool" to them. They don't care about hearing loss - I can't change them unfortunately and I can never get them to turn down. A lot of young people who play in bands that I know are like this.
But luckly I'm not bothered by what others think, so I wear ear plugs now when practicing with the full band. I already have some hearing loss from music - I know this because I get my hearing tested at work. (I work in an office - my hearing loss is not work related). Further losing my hearing or getting tinnitus is not worth it. To hell with looking cool.
Once you get used to ear plugs it's not such a big deal. I don't really find the sound frequency issues a problem with normal earplugs once you're used to them - not for practicing anyway. But during gigs I do prefer to wear the Etymotics so I can hear the full sound better.
If I have spare money one day, I think I will invest in the custom fitted plugs that yassarian mentions.
A sort of separate answer - what we do in my band wherever possible is have all the speakers at the front of the stage so all we get on stage are monitors. This means it is quiet enough to talk normally to each other, while keeping the volume out front sufficiently high.
Admittedly this doesn't work so well in small venues, but on bigger stages and at festivals it really helps with avoiding ear pain!