Before adding any permanent fixtures or covers to your egress windows, you should consult your local municipal fire code. Your basement windows are required by law to facilitate escape in case of fire. Covering the windows with something that does not open easily or can become blocked constitutes a violation of the fire code and can put you or your family at risk.
Sheets of acrylic glass are available in most any home improvement store. They are a clear plastic acrylic material that can bend and do not shatter. Acrylic glass lets light pass through in to your basement, but keeps debris out of your window wells. Measure your egress window wells and get a piece of acrylic for each well that will minimize the number of cuts you need to make. Cutting acrylic glass can be tricky, and minimizing the number of cuts you need to make will save you a lot of headaches.
Most home improvement stores carry plastic window well covers that can be dropped in to place. They are typically cut to size, and intended to be made of a lightweight material and are hinged or attached with tension clips that can be pushed out in an emergency. These covers often do nothold up very long when exposed to extreme temperatures and sunlight, so you may need to replace them every few seasons.
If debris and unsightliness is your concern, you should consider building a small, removable box around your window well out of plastic or wooden lattice. The lattice can have plants trained on to it to hide the well and, if constructed minimally, is weak enough to be broken through should the need arise.