There no good that can come of exposing your poor ears to painfully loud music. Once you’re hearing starts to degrade, it’ll never, ever come back. Best protect your hearing while you.
I have a set of custom-fitted earplugs that I always take with me to shows. They not only cut down on the sound pressure levels, but they also filter out all the unwanted echo and venue-generated reverb as well as some of the shrieking high frequencies.
On those occasions when I find myself without my custom plugs, I’ll use the foam ones you can get at drugstores–or, in some cases, the ones handed out for free at the show itself.
If you’re looking for some ear protection that’s a little more sophisticated, you might want to look at a pair of Dubs. Read about them at TechCrunch. (Thanks to Peter for the tip.)