Protection is one of the oldest keyword abilities, as it has existed since Alpha. It is both powerful and complex, as it actually generates several effects. So, let's start with the basics.
Protection is a static ability of permanents (so not only creatures). The protection ability may also be granted to players by some cards or effects. The ability is usually written as "protection from [quality]", where [quality], while usually a color, can be any characteristic such as card name, card type, subtype or mana cost.
Protection may be regarded as four different abilities, and we will proceed to explain each of those in detail. You can easily remember them by using the acronym DEBT. That means that a permanent or player with protection from a quality cannot be Damaged, Enchanted (or Equipped), Blocked, or Targeted by sources that have that quality.
Cannot be targeted
The first effect acts as a sort of shroud applied only to the sources with the stated quality. Just like shroud, the protected permanent or player cannot be targeted, regardless of who controls the source of the effect trying to target it (so it is not like hexproof).
Example. Player A attacks with a Black Knight. Player B has an Azorius Charm in hand but he cannot use the Charm to put the knight on top of A's library as it is a white card.
Example. We are in the same situation of the above example. Player A is attacking with his Black Knight, holding a Faith's Shield in his hand. This time, Player B has an Ultimate Price and he plays it targeting the Knight. Now, granting protection from black to the knight would make it an illegal target for the Ultimate Price, but A cannot target it with his Faith's Shield, as it is a white card. The fact that A controls both the Knight and the Shield doesn't matter.
Now, let's suppose A has only 5 life. Faithful hour kicks in and Player A can use Faith's Shield targeting another of his permanents to grant him and all his permanents (including the Knight) protection from black. Since the Knight is not a legal target anymore for the Ultimate Price, it won't resolve and it'll be removed frome the stack.
As shown in the example above, this shroud-like effect doesn't have any interaction with spells and abilities that are not targeted, or with the ones that don't directly target the protected permanents or player. So a Black Knight will still die from a Supreme Verdict, and a White Knight can be sacrificed to a Devour Flesh, as it targets the player, not the creature.
A case worth mentioning, related to the next effect of protection, are Aura cards. An Aura is the only kind of permanent that requires a target upon being cast. So it won't be possible to cast an Aura spell targeting a permanent or player protected from it. Still, it is possible for an Aura card to enter the battlefield without being cast (using the ability from Sun Titan, from example). An Aura put on the battlefield this way must simply be assigned to a permanent that it could legally enchant. This leads us to talk about the second effect of protection.
Cannot be enchanted or equipped
The second effect of protection involves cards that are attached to permanents and players, such as Auras and Equipments. So a permanent or player protected from a quality cannot be enchanted or equipped by cards that have the stated quality.
To support this effect, a state-based action is defined, that takes care of the situation where an enchanted/equipped permanent gains protection after being enchanted/equipped. The state-based action unattaches the card, and in case of Auras, since those can only exist on the battlefield enchanting a permanent, they will be put in their owner graveyard. Equipments will just become unattached. This takes care of the situation where an enchanted or equipped permanent gains protection after being enchanted.
Example. My opponent attacks me with a creature equipped with Umezawa's Jitte. Before the damage step, I use my Tower of the Magistrate to give the creature protection from artifacts. This will cause the Jitte to become "fall off" from the creature.
If an effect tries to enchant or equip a protected permanent, the part of the effect that tries to do so simply won't do anything. If the effect would cause the Aura or Equipment to change zone, the card will remain in the old zone. If an effect simply tries to put an Aura on the battlefield, this will be possible only if there are permanents that the aura can legally enchant.
Example. Player A casts an Obzedat's Aid targeting a Pacifism in his graveyard. Player B controls a Cartel Aristocrat and a Spirit token. In response to the Obzedat's Aid, Player B sacrifices the Spirit token to grant his Aristocrat protection from white. Pacifism now cannot be put on the battlefield, as there are no permanent it can legally enchant. If Player A controlled a creature himself, he would be forced to enchant it with his own Pacifism.
Cannot be damaged
The third effect of protection is a prevention effect. All damage that would be dealt to a protected permanent by a source with the stated quality is prevented. Since this is a prevention effect, the damage event never happens, so any ability that triggers on damage being dealt won't trigger at all. If the damage can't be prevented for any reason (for example after a player has cast Skullcrack), then this part of protection doesn't work.
Example. If a Pyroclasm is cast and Vulshok Refugee is on the battlefield, the 2 damage that would be dealt to it are prevented. However, if Leyline of Punishment is on the battlefield, the prevention effect will not work, and the Vulshok Refugee will die. Also notice that Pyroclasm can affect a creature protected from red, as it is not targeted.
Cannot be blocked
The last effect of protection involve combat. Any creature protected from a quality cannot be blocked by a creature with the stated quality. This is a restriction that applies only when blockers are declared. If a creature is already blocked it is not possible to "unblock" it by giving it protection from the creature that is blocking it. The blocking restriction can only work if the creature is already protected at the beginning of the declare blockers step, so the last useful time to give protection to an attacking creature is during the declare attackers step.
Example. A White Knight cannot block an attacking Black Knight, and vice versa. Being protected from each other doesn't cancel out the effects of protection so both cannot be blocked by the other. A joust challenge dating back to Alpha that will never be resolved - this is really the stuff of legends!
As we said in the introduction, a permanent or player can be protected not only from colors, but from any characteristic, or any combination of them. Some protection abilities can create confusion, and those will now be explained in detail. Some of those abilities have been printed on a single card only.
Protection from creatures
Protection from creatures falls in the category of protection from a type, supertype or subtype, as creature is a card type. Usually, if an ability refers to a type, supertype or subtype, it only refers to permanents of that type. For example, creatures are actually "creatures" only while they are on the battlefield, otherwise they are "creature cards". Protection is an exception to this rule. A card with protection from creatures is protected from all creature permanents and also creature cards is all zones. So a permanent protected from creatures cannot be targeted by abilities from creatures and creature cards, cannot be damaged by creatures, and cannot be blocked. Creatures cannot enchant or equip, and creature spells are never targeted, so the other protection effects are not relevant.
Example. Player A controls a 1/1 Bird token enchanted with Holy Mantle. His opponent is at 5 life. When attacking with the bird, Player A cannot use the bloodrush ability of Skinbrand Goblin to deal the remaining 2 damage, because the bird is protected from creatures and cannot be targeted by the bloodrush ability, as its source is a creature card.
Hic sunt dracones!
Protection from everything
Only printed on Progenitus, protection from everything had a rule specifically created to handle it. A permanent that is protected from everything is protected from any object regardless of its characteristics. In other words, all damage that would be dealt to Progenitus is prevented, it can't be enchanted or equipped, it can't be blocked and it can't be targeted.
As usual, it can still be destroyed by effects that does not target him directly like a Wrath of God or a Toxic Deluge for 10. We can also use sacrifice effects that target its controller, like Liliana of the Veil's second ability. Also since the protection ability only works while Progenitus is on the battlefield, it can still be countered while it's on the stack.
Lastly, an important note is that the protection ability also applies to Progenitus's controller. So the player who controls it can make it bigger with effects like Honor of the Pure, but he can't use a targeted spell like Berserk to get its power to 20.
Protection from colored spells
Printed only on the most powerful of the Eldrazi titans, Emrakul, the Aeons Torn, protection from colored spells is indeed quite unusual. To understand it, it is useful to review what a spell is. A spell is a card on the stack, a copy of a spell, or a copy of a card that is cast. So Emrakul is protected just from these.
Theoretically the usual four "DEBT" effects apply, but since a spell is not something that could block it in combat or enchant it (an Aura only enchants something only when it is a permanent, not a spell), there are only two relevant effects: Emrakul can't be damaged or targeted by colored spells.
That means that a Bonfire of the Damned for 15 cannot kill it as the damage is prevented (it is a spell when the damage is dealt, and it is red), but it is possible to target and damage it using Ghostfire, since it is colorless.
It is not possible to cast a Pacifism on it, since Emrakul would not be a legal target, but Pacifism can actually legally enchant it, if it enters the battlefield in some other way, because it would be a permanent and not a spell. Emrakul can also be targeted by abilities, so it can be exiled with Oblivion Ring and stolen by Sower of Temptations.
Protection from a player
Recently printed on True-Name Nemesis from the Commander 2013 set, this protection ability also came with an update to the comprehensive rules to handle it specifically. It works like "protection from everything", but it only applies to objects controlled by that specific player, or owned by that player and not controlled by anyone else.
In a classic two players game, it is a strictly better version of protection from everything. A True-Name Nemesis will look like a Progenitus from the side of the named player, but the player controlling it (or other players in a multiplayer game) will be able to equip or enchant it, and can use spells to target it.
Example. Consider a multiplayer game, with players named A, B, C. Player A controls a True-Name Nemesis, naming player B. Player B casts a Pyroclasm. If the Pyroclasm were to resolve now, the damage to True-Name Nemesis would be prevented as the Pyroclasm is controlled by player B. When Player C gets priority, he uses Commandeer on the Pyroclasm. Then all players pass priority and let the stack resolve. In this case when the Pyroclasm resolves, it will deal 2 damage to the Nemesis because even if it is owned by player B, its controller is currently player C, and the Nemesis is not protected from him.
Now, in the same scenario, A is attacking B using the Nemesis. B uses Act of Aggression to take control of a creature controlled and owned by player C. After the Act resolves, the stolen creature still cannot block the Nemesis, because this time, despite being owned by another player, it is now controlled by player B and the Nemesis is also protected from it.
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