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)
Step 2: What do you want to hear?
How you're going to set your system up depends on what you want to hear in your monitors.
If you're a drummer, maybe you want a click-track, and the bass and/or rhythm guitar.
If you're a guitarist, maybe you want to hear the drummer and bassist. It's all up to you.
I'm a singer, so I like to hear the entire mix, and especially myself.
It all depends on what you want, and what your live setup looks like.
In my band, all our instruments get routed through one mixer, so I just plug into the headphone output in our mixer.