The Cowboy Action shooters use rounded, fuzzy cat toys as ear plugs for their horses, finding they work equally as well as the expensive horse ear plugs. I wonder if a mouse toy works well, as you'd have that ready tail for extracting the toy afterward. Their barn cats are likely very happy.
A very BNT that I worked for used the foam balls that are cat toys many years ago. We would color them black w/ a sharpie so they didn't show. Something like these: http://www.arcatapet.com/item.cfm?cat=240
Take an old pair of panty hose, cut off the lower part of the foot, and stuff it with batting (cotton, synthetic, whatever). If you don't have any batting cut up the rest of the panty hose and stuff the feet with that. Tie off the ends and attach them to each other with a long cord. This prevents their loss and allows you to withdraw them from the ear.
The "earplugs" sold are a "one size fits all" item and seem to be designed for draft crosses. I'd have to put my mare on the ground to get them into her ears!
I guess any soft, pliable material with a high air content would work.