I love Mezzanine, but for sheer range of emotions, music, etc, Protection beats it hands down.
What Protection lacks in the dark, macabre sound of Mezzanine, it makes up for with darkly mellow tracks like Protection and Three, evil grooves like Eurochild, and the unbelievable instrumental Weather Storm (my absolute favorite track of theirs).
There are a few weak moments on the CD. The live version of Light My Fire is to be avoided (fortunately, it is the last track), and Spying Glass doesn't really do it for me.
Otherwise, this is a brilliant album with a vast range of sounds. Highly recommended for fans of Massive Attack, Tricky, etc...