In paranormal research, ghost hunting, or any spiritual pursuit, protection is a must. We bring pepper spray and cell phones, go in groups to those dark, isolated cemeteries, and let other people know our location. In the physical realm, that should be enough. But keep in mind any pursuit involving the non-physical world warrants special protection.
During ghost investigations, we go out looking to document that the dead still exist in some form in our realm. What that form is, or where it comes from are questions we cannot yet answer. We also can't say with certainty what else may be lurking out there in the unseen world just waiting for us to show up with cameras and voice recorders. No matter what your personal spiritual beliefs are, you must acknowledge that the spiritual world is still largely unknown to us, and we need to tread lightly.
In the years that I've been participating in ghost investigations, I've heard stories of ghosts following people home, possession, and contact with negative entities. A negative entity can basically be anything you want to avoid, from a demon, an alien, or the ghost of a criminal. While I personally don't believe in entities like demons or the possibility of possession, I can't say for sure what's out there, and there are some things I'd rather avoid altogether.
Spiritual protection can take many forms. Some people prefer traditional prayers or psalms while others opt for the spiritual approach of surrounding themselves with white light. Some people smudge with sage before and after an investigation. All are good ideas, and certainly none are harmful.
A simple white light prayer might go something like this:
I surround myself with the Divine white light of protection.
I am protected by the Divine Spirit of Love and Grace.
No harm may come to me, and no negative energy may approach.
Some other good ideas are mostly common sense. Ask permission from the spirits to document their presence with cameras and other equipment. Explain how things work and what you're doing. This may seem unnecessary, but if a ghost understands what you're trying to accomplish, they may be more likely to participate if they know how it works. I may know well how EVP works, but the ghost of my great grandpa Joe may have no idea what a digital voice recorder is or does. Asking permission can also put a territorial ghost at ease. If you aren't seen as a threat, you may be more likely to have successful results.
Above all, remember that ghosts were once people too. Just because someone is no longer walking around in a body, it doesn't mean the personality they had in life went away. First impressions and attitudes still play a large part in human contact whether the human in question is dead or alive. A grouch in life will most likely still be a grouch in death, and a young child won't understand the larger scheme of things just because he's now a ghost. Be patient, protect yourself and use common sense, and you'll be able to investigate with confidence.