I use Ultimate Ears UE7 custom molded IEMs with a Carvin IEM system (wireless unit). They weren't cheap ($800), and I'm not sure if I could have returned them if I hated them, but I've been using IEMs long enough to know what I wanted and they fit the bill. If you want something less expensive try the Westone UM2's - they are good enough for the guys from Muse - so they can't be too bad
No matter what you get there will be a break in period where you have to get used to them and understand what you need from a mix.
My band plugs everything into a split snake, 1 fan tail goes to our mixer (Presnous StudioLive 24 channel unit) which provides our 5 IEM mixes and covers FOH when we use our own PA. We also dump the whole show to computer via Firewire from the board to a computer. If there is a house PA they get the fan tail. We never use ANY monitors on stage other than IEMs - EVER!!!
If they are they we ask the FOH if we can strike them to save room, and we make sure he knows if they stay we don't want to hear anything from them at all, we went the amp off and everything.
As far as getting tones and FRFR - I'm sure my IEMs aren't exactly FRFR but I'm not in the business of exact - as stated above the PA isn't FRFR, the room isn't FRFR and the drunk guy doing sound is definitely not FRFR (even non-drunk really good FOH guys are not FRFR). What I do is build my tones through the rig we use for our shows, I don't plug my IEMs into the Axe - it doesn't translate as well. So I show up to rehearsal early and build my tones there, playing from my Axe through the XLR output, into our board. I may start on a tone at home, but even then I'm going through a board and not plugging into the headphone jack of the axe, and then i finalize it with my drummer or bassist playing with me. Once my tones are dialed in I may cut some high -mid (typically between 1k and 4k) or low mid (always a high pass around 150hz and then maybe another cut between 250 and 500hz) on the channel strip of the board - but that is only for the FOH mix, I don't change anything on the Axe.
Too many guitarist worry about what they sound like by themselves - unless you are doing a solo gig you won't be playing by yourself so you have to find a spot that works for the music you are playing, don't overtake the bassist in the low end, leave room for vocals, etc...
The method above is what I have used for years, although it used to be with a mic'd amp. I've done lots and lots of shows, with lots of different PA and room configurations and more sound guys than I can count. I've never had one complain about my volume or tone, most times I get tone compliments, especially from the ones who play guitar.
If you have any questions about the gear or how we are doing things I'm happy to answer.