Here are the pros and cons of each type of hearing protection.
Foam earplugs (US$1)

My weapon of choice during practice sessions and teaching. They're unobtrusive, so bandmates and students won't notice. However, students who have small ear canals have had trouble getting a tight fit.
Pros: Inexpensive, replacable and widely available.
Cons: Won't fit everyone nicely. Tends to cut out more high frequencies than low. Lost easily.
Where to buy: Pharmacies, music stores.
Musician's earplugs (US$5-20)

Many of these earplugs claim to have a balanced frequency isolation than normal earplugs. Unfortunately, I find the triple flanged buds uncomfortable, and they never seem to isolate properly. They do looks nice because they come in a variety of colours.
Pros: More balanced isolation than foam buds (if you can find a tight seal).
Cons: Expensive, easy to lose.
Where to buy: Music stores, online.
Workers Earmuffs (US$10-20)

Pros: Cheap and hard to lose.
Cons: Very obstrusive.
Where to buy: Hardware stores, online.
Drummer's Noise Isolation Headset ($60-200+)

Pros: Great for playing along with tracks.
Cons: They get can a little hot and tight after a while (I know what you're thinking... stop it).
Where to buy: Music stores, online.
In-Ear Headphones ($50-300+)

Pros: Great sound quality, good isolation. Ideal for live and playing with tracks.
Cons: Not everyone can get used to the feel of something sticking deep inside their ears. Can be pricey.
Custom molded earplugs ($200+)

Pros: Comfortable, great sound quality.
Cons: Very expensive. Takes up to 2 weeks for them to be made.