Hi fastline,
Protection is unnecessary if what you mean is a series of fail-safe components/circuits. The main issue in protection stops at the point where you use voltage regulators, which already limits the current and fixes the voltage for the uC to function. For example, PIC16F and 18F family usually runs with 5V, and an LM7805 (or others, that's a really, really common one) takes care of that nicely. The design of these regulators have protection incorporated inside the component. some even have shutdown properties if there are parameters transgressed.
The thing is, if you want to drive transistor bases, or a few other ICs, it'll be good practice to use diodes and resistors in series. Sometimes when you interface a uC to another IC, (let's say a push pull drive to control motors) the inductance of the motor will induce reverse voltage spikes which may damage the uC. So diodes in series are essential.
LEDs are driven with resistors (1-10kΩ) in series, to limit current. You'll burn LEDs if you connect them directly to the uC pins, and may also damage the pin of the uC.
These are a few things, but you'll learn as you go along.
Vizier87.