There are no more important assets for musicians than their ears, and no more important thing any musician can do than make sure those ears are protected. It doesn't take a lot of exposure to sound at even moderately high volume levels for temporary damage to occur, and repeated exposure can build up to permanent damage before you know it. So, it's critical to get proper protection for your hearing, and, once you have it, it's even more critical that you remember to use it. Those custom earplugs don't do you any good if they're still in your pocket when your drummer hammers his crash cymbal a foot from your ear.
The first thing to do is find out what you're comfortable with, both as a listener and as a performing musician. If your protection is actively uncomfortable, you're not going to use it. There are several styles of plugs available and most of them are affordable enough that trying different types until you find the right one is well worth the time and money.
Most common are the in-ear plugs made of soft foam. You basically compress them, stick them in your ear and they expand to fit. Because of their nature and the difficulty in cleaning them, they tend to be single-use and usually come in multiple packs. They offer excellent protection, but because they block high frequencies more efficiently than low frequencies, things can sound a little muffled.
Next are silicon plugs. These are similar to the foam plugs, but made of silicon rubber. They're easily cleanable, so can give multiple uses. The solid silicon plugs also have excellent protection but can have uneven frequency response as well.
The next step up is the valved earplug, frequently referred to as a "high-fidelity" plug. These are generally silicon rubber, with flanges that enable easy insertion in the ear, but seal tight against the ear canal. They have a vent down a central part of the plug. Some rely strictly on the vent to let more high frequencies in, while others use an internal valve that closes on high-impulse transient signals to offer a sort of "overload" protection. These have a wider frequency response and offer a more natural sound, at the cost of a few dB less attenuation overall.
Lastly, for those who just can't abide having something stuck in their ear, there are earmuffs. Looking like large over-ear headphones without a cable, these offer great protection, both from sustained high sound levels and sudden, sharp sounds (which is why they're also used at target ranges), but do call attention to themselves. Whatever one you choose, choose one and use it. Even though Beethoven continued composing after he became deaf, his performance days ended, and we're sure you'd like to keep rockin'.