I carry the ones with those three little rubber umbrella look. They're the easiest to insert wrong, or work their way out for me. The only sure fire are foam or muffs.
Make sure to pull your ear up with your other hand to straighten the canal and allow the plug to go into place properly. If I use foam I roll them up tightly in my fingers, pull the ear up and insert it, then hold it in the ear by placing my finger over the end until it's fully expanded.
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