How to change the cursor between Normal and Insert modes in Vim?

The following works in xterm, urxvt, and other terminal emulators on Linux; iTerm2 on macOS; Git Bash with ConEmu on Windows; and more (see comments):

let &t_SI = "\e[6 q"
let &t_EI = "\e[2 q"

" reset the cursor on start (for older versions of vim, usually not required)
augroup myCmds
au!
autocmd VimEnter * silent !echo -ne "\e[2 q"
augroup END

Other options (replace the number after \e[):

Ps = 0  -> blinking block.
Ps = 1  -> blinking block (default).
Ps = 2  -> steady block.
Ps = 3  -> blinking underline.
Ps = 4  -> steady underline.
Ps = 5  -> blinking bar (xterm).
Ps = 6  -> steady bar (xterm).

When you use tmux, it is important to use it like that (without the \<Esc>Ptmux; escape). tmux will keep track of the correct cursor shape when you switch windows/panes.

If it does not work for you, try either to set TERM=xterm-256color before starting tmux, or add this to your .tmux.conf (thanks @Steven Lu):

set -ga terminal-overrides ',*:Ss=\E[%p1%d q:Se=\E[2 q'