A common saying is "any crystal is a protection crystal if it's large enough or thrown hard enough". While I agree with the sentiment, if you don't want a meme-y answer, this chapter is for you. I've listed some of the more common crystals for this, but there are way more – and some specific colors or types of these crystals are more protective than others, but I'll leave that for you to discover.
In terms of crystal SHAPES, geodes are associated with protection. Probably because you have to break through a tough outer layer to get to see the formations (or the dirt buildup in some cases, unfortunately) inside.
Some of the more common crystals associated with protection are agate, amber, amethyst (nice to see you again), carnelian, citrine, dalmation stone (which may or may not be a type of jasper, but no one can agree), fluorite, hematite, howlite, jasper, jet, labradorite, malachite, moonstone, obsidian, onyx, quartz, sodalite, tiger's eye, and tourmaline.
It should not be a surprise to see that these are crystals that have a variety of uses, especially amethyst which somehow seems to end up in every crystal series lesson I write. These are crystals that have had many meanings and abilities given to them by people in the past.
These crystals being so common makes it so much easier to get a good protective rock at lower prices! If you're witching on a budget, you can get, like, 20 of these for 6 US dollars at a tourist trap anywhere. It depends on the size and if you can shove enough into a purposefully small bag.