When recording with my band awhile ago, I realized how much I loved being able to hear myself clearly through the headphones. I went off to purchase an In-ear monitor system for live shows, and was awe-struck when I saw the prices. I gave up on it immediately: maybe to revisit when we get some more money. I can't remember how or when this idea came to me. but I think it's pretty innovative for the resources we had around.
Step 1: "Parts"!
1. An FM transmitter (I went with BELKIN because it got really good reviews)
An FM transmitter is a little device which(simply) let's you listen to your audio source(Personal CD player, MP3 player, etc.) Over a stereo. These are low powered and don't have the greatest range. I would suggest the Belkin Tunecast II FM Transmitter Mod to boost your output power.
2. a personal FM receiver(With headphones!)
Basically, a small FM radio with a headphone jack people used to use before CDs and iPods were invented.
This doesn't need to be brand new. Just functional, and have a headphone output.
(TIP: If you want to seem really cool and professional; get a rectangle one that you can put in your back pocket. This way people won't know you don't have a professional IEM system!)
3. Headphones, 1/8 to 1/4 adapter(optional, depends on conditions)