The big advantage of 'in-ears' as these monitors are called, is that each musician or vocalist can have his or her sound mixed to their own specifications. Some like to hear themselves, and the guitars only, or the whole band, and the volume can also be set to individual preferences. It's a big help to vocalists because acurate pitching depends on being able to hear yourself.
You do have to trust your monitor engineer though because these monitors are usually custom-made to fit the individual musician, and keep out all external noise, which means that if there is a sudden blast of feedback abive a certain level, hearing damage is instant, and can be permanent.