Unprotected cells have an advantage in high current applications since the protection circuit won't shut down the cell due to the draw. Other than that I'd recommend the protected cells.
As far as SF legos go, these are my building blocks (I'll forgo the E series):
Heads: 6P, C2, C3, M3, KT, M6, KL2s (modded w/ McR38, SSC, & multifunction converters), old KL3 (being modded w/ McR20S, SSC, multifunction), 3" SRTH, and a one-off McGizmo M4X4X2 (selectable 4 X Lux III McR20 or 4 X Lux III lambertian flood in an M4 head).
Tubes: 6P, C2, C3, M3, M4, and M6, cell extenders, and Detonators
Adapters: M to C, and C to E. Some TnC KT to E adapters on order.
Tails: Stock twisties and clickies, McC2S 2-stage, SW01, SW02, and RPM
Modules: Some Arcmania towers (Digital SSC, Lux V, and TTM (1 X AA Lux I)), Lighthound and DX Cree drop-ins modded for correct bezel seating.
Cells: CR123, RCR123, 17500, 17670, and an M6-R clone built by wquiles.
With the above parts I can pretty much cover all my needs and then some. Most are throw oriented except for the stock KL2, but all mine have been modded. I rarely use the incan heads except for the M6.
I didn't plan having a SF lego set like I did with the Alephs, but having aquired a light here and there, some conversion heads, and associated accessories, I can mix and match and build a variety of complete lights in different configurations.