As has already been said, it's a recognised technique for being able to isolate the sound of your own voice from the mix around you, and being able to better judge your tuning. I have seen Robert Tear, the well known tenor use the method in rehearsal while singing against a loud orchestra (although obviously not in public performance); the choir I sang in advocated it occasionally when rehearsing as a means of getting people to think about what they were up to .... and so on.

There is another interesting technique, which again I came across in training sessions with my choir. If you cup your ears (both of them) so that the palms of your hands are rearwards facing you will find that it isolates most of your own sound, forcing you to listen to the sound behind you. Useful for getting choir members to get to grips with listening to what others were up to!!

And, as has already been said sticking your finger actually IN the ear achieves nothing of any particular use, apart from engendering a deal of discomfort!