Etymotic's in-ear headphones are pretty great, especially if you spring for the extra $100 to go to an audiologist and get custom ear molds made.
http://www.etymotic.com/ephp/er6i.aspx
or, with an iPhone compatible microphone:
http://www.etymotic.com/ephp/er6i.aspx
or, with an iPhone compatible microphone:
The other extreme is to just use shooting range ear protection: http://www.earplugstore.com/hunting-and-shooting-ear-plugs.h... (or amazon'd: http://www.amazon.com/Best-Sellers-Sports-Outdoors-Hunting-E...)