Bunny, it's a vast subject.
With Dharma Protectors, there are basically two levels--mundane, and suprmundane.
The Supramundane Protectors are Buddhas--they are fully enlightened, but appear in wrathful form, and serve to remove obstacles. the various Mahakalas and Mahakalis are the chief ones in this category.
The mundane protectors could be local spirits, or even deities/Gods--I don't know about Hindu Deities, but certainly there are Tibetan "gods" who were subjugated by Guru Rinpoche or other great masters, and who are "samaya-bound"--they have pledged to protect the Dharma and practitioners. However, any sort of relationship with these types of protectors requires a pretty experienced practitioner, able to command such beings. For most of us, it's better to respect them, and leave them be.
Different lineages, and monasteries, have their own specific relationships with various protectors, both mundane and supramundane. In Tibetan culture, mundane beings--the local deities, land-owner spirits, nagas, etc., would be "attached" to specific places. For supramundane protectors, it's common that a given Terma cycle, or practice transmission, would have it's own protector or protectors. These protectors are said to have a relationship to the lineage holders. for the Sakyapas, the "Lord of the Tent" (Panjaranatha Mahakala) and the four-faced Mahakala are the main ones. For Karmapa's disciples, it's Dorje Bernakchen (The Black-cloaked one) and Palden Lhamo, Mahakali. Shangpa Kagyu's protector is Six-Armed Mahakala, and this practice has spread to all lineages. Nyingma lineages have a variety of Mahakalas--Mahakala Ma-ning, the genderless one, and Lekden, are fairly common. The forms of Mahakala and Mahakali are too numerous to list.
Normally, for Vajrayana Buddhists, a protector "practice" would be part of one's daily recitations, and for most of us, we would view the protectors as "external," as forces outside ourselves, able to help remove obstacles. The recitation would usually be a sort of "praise" and "offerings," with requests to perform activities. These are called "Sol Kha" in Tibetan, and are often relatively short, and can be inserted into one's daily practice recitations.
For more experienced practitioners, the "praises" and "offerings" may also include "commands," as well as full "sadhanas"- practices relating to guru yoga, purification, and wrathful activity, and for some practitioners, there is the possibility to generate oneself as the protector, to manifest as the Dharmapala. These are advanced practices.
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