Greetings!
For AAA / AA, I buy Eneloops for everything without question. I've tried Energizer, Duracell, GP Power and they all turned out to be a waste of money - i.e. they didn't last very long..
White Black Eneloops for older, less powerful lights (under 250 Lumen or so) and other low-power devices, and the
black white Eneloop Pro batteries for modern lights.
For 18650, I like Nitecore (NL1835HP / 36HP for the most powerful lights) and Keeppower cells. Limited choice and availability is a problem for me, but those works for me. I don't own any of the current Fenix 18650 cells, but I am certain those work fine too. Their current 21700 cells, of which I have many, works great.
For off the shelf lights, protected cells are technically redundant, but recommended for safety and just peace of mind. Brand name flashlights also have protection curcuits built-in for extra safety. Protected cells have over- and under-current protection, as well as over- and under-discharge protection and short-circuit protection. They are basically fool-proof, and their only limitation lies in the limited power delivery, which is typically 3-4 Amps, and up to 8-10 Amps maximum.
An unprotected battery can deliver more power / Amps (from 20 and up to around 50 A), and needs to be both handled and used with a bit more care. But they are practically no less safe than protected cells so long as you use common sense. Just don't place unprotected cells in series (stacked / on top of each other) in a light - that's arguably a recipy for a bomb. But unprotected cells in parallell (next to each other) is fine. Protected cells can handle both configurations just fine.
I wrote a novel on battery protections here:
Take this with a grain of salt, as this is my understanding of it all and parts could be wrong.
Exactly what happens if any of the protections kick in, I actually don't know.
As far as I know, there are 5 types of protection for batteries:
Over-current
Over-voltage
Under-voltage
Short-circuit
Overheating
Some of these safeties are beneficial during use, and some during charging.
TL;DR:
Buy quality flashlights, batteries and chargers, and don't cheap out on either of the things. Use common sense at all times, be extra careful at first to gain personal experience with your devices and...
Edited.