I used to wear them for the opening bands set, and not for my own, as I used the "feel" excuse - I tried them in at my last gig, and actually could hear a lot better. Harsh high end was all gone - I could almost only hear kick and snare from the drums, which is all I want anyways.
For watching other shows, so far, I haven't been able to watch a band without earplugs. I always find live sound to be waaaaay too high endy and harsh, to the point where you can't really hear anything that distinctly, and it blurs everything together. The earplugs kill off the high frequencies in an awesome way - I use Hearo's Hi-Fi (which really aren't that hi-fi), but I pull them out a bit - works great to adjust volume and frequency filtering, just moving them around in your ear a bit, pulling them a touch out, etc.
That said, I'm always right upfront, so I'm not hearing any PA sound - it's all straight from the stage.
). Not only do they make everything clear and therefore tighten up my guitar-ing, but they block my ears enough I can hear my voice in my head and my singing is way better. I wear them to a lot of gigs too, it means you can actually listen to the band rather than just a mess of noise and a bass drum.
) [if you don't, just put it as far as you can so that you can still pull it out without pliers 
