Depends on what kind of protection you're after. If you just want to protect your hearing, the highest rated protection I've found is the Silencio foam earplugs, available at Walmart for something like two bucks a dozen. They are rated to 32 decibels reduction, and really do cut noise like nothing else.
If you want to spend money, and/or find it necessary to have amplification, then you start dealing with the electronic muffs. Really good ones are rated to 30db reduction, but cost a couple of bills. They amplify normal sound, but cut out sounds over a certain level (say, 85db). If you are hunting for a bargain, be sure to check the noise reduction rating. If the overall reduction rating of a pair of electronic muffs is 24, then that's all the protection they offer, whether they say they 'cut out' noises above 65 or 75 or whatever; and decibels do not increase linearly. An increase of 3db is a doubling of noise (I think that's about the formula I remember).
I started with just plugs, to see if I could get by without wearing muffs (hate having extraneous crap on my head), and I'm still using plugs a couple of years later. If you want to have more money for ammo, that's what I'd do.
