I've got some Speedo brand swimming ear-plugs which work well. They need to be moistioned before inserting though (no pun intended
) They go in quite deep and have a little "handle" to pull them out with.
Other than that pick up some of the foam ones (Bunnings perhaps) that you squash first then insert in your ear. They usually have a daggy plastic cord on them but you can just cut that off.
Be weary of wearing flouro coloured plugs to a concert at night as the UV/Blacklight will make them glow and you'll look like a tool.