I wear these for shows:
http://www.etymotic.com/hp/er20.html
They're pretty inexpensive, and they are much better than the marshmallow foam ones. The sound stays pretty true at all frequencies, just reduced. I find that the foam ones muffle everything and eliminate the treble completely.
I am intrigued by what others have posted however, and I may look at some of those options as well. I don't go to anywhere near as many shows as I used to (in a past life I would be photographing shows quite often) since my baby boy arrived, but I still have a pair of earplugs in my camera bag, the glove box of each car, and in my wife's purse.