I did a big project about this a few years ago and have some reccomendations:
Using tissue paper to cover your ears does very little to nothing in the way of sound attenuation. It merely muffles the sound, making people think that it's quieter than it is.
I personally use a pair of ER-20's, and there has only been one concert that i've been to where i didn't need them (Pedro the lion in a full-acoustic set at a record store). Otherwise, they've come in handy many times, and are more than worth the cost i paid for them.
As for foam/rubber earplugs, they provide more protection (Which is somehow sometimes needed, even with ER-20's, i've had my ears ringing lightly after shows), but they muffle the sound more. Some people can tolerate them, but i can't for one.