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I tend to do both - running the cables for in-ear headphones under a pair of fairly industrial ear defenders.
A lot of the time the headphones will suffice, especially if you're a bit back from the track, but spaces where the noise can echo about a bit (covered grandstands along the start-finish straight for example) ear defenders can be appreciated.
It's horses for courses, and will depend on how sensitive everyone's ears are, but for me I'd rather not run the risk of noise induced hearing loss.
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