1. As mentioned already, get custom-molded in-ear monitors. They're wonderful. I dropped like $1500 on mine but someone below mentions much cheaper models. Mine are great, hopefully his are too. But this only works if everybody is playing direct or miked and you can get a reliable mix. Oh, and be careful working with inexperienced engineers because if you take a blast of shrieking feedback from one of these it's probably even worse than not wearing ears at all.
2. For bigger stuff, playing in an orchestra or whatever, where no mix is available, just go with earplugs. I find Etymotics uncomfortable for more than an hour or so, but some people like them. With about ten seconds of googling you can find some huge sample packs of disposable foam earplugs online, so you can try out lots of different varieties and find what works for you. And if you're new to playing with an orchestra, do not underestimate how loud they are. A brass section can absolutely compete with the loudest of guitar amps or drummers.
3. If at all possible, just don't play crazy loud gigs. If you end up with guitars, drums, bass, brass, whatever, all competing with each other for volume the overall mix will be a mess. I find few things less enjoyable than concerts where no one can control their stage volume and you just hear a poorly-mixed muddle of sound. If you've spent time honing your craft and learning the parts, why play in such a sub-par environment?
And in general, just take care of your ears. I'll wear earplugs on a motorcycle, in one especially loud datacenter I used to spend time in, at concerts, when using powertools (or even hammers), on aircraft, etc. I keep a huge pack of disposable earplugs I bought at Home Depot for like six bucks in my car and I use them regularly and hand them out to people as well.