Not sure if you are talking about store-bought or homemade. I made mine and painted it with two coats of gray Dry-loc and then detail painted with exterior house paint. If you are talking about store-bought, I've heard that you can buy exterior clear coat paint (varnish?).
Is it necessary to protect them? I've never done it myself. So far, all I've used is the beaded white styrofoam. Just paint. They get left out for a few weeks before Halloween and a bit of rain in the mix, but I haven't had any issues.
I guess it'd depend on what yours are made out of.
My stones are all made from 2" rigid foam (pink and/or blue). A good coat of exterior latex paint is all I've ever put on them and they hold up fine for years. I just did a few minor touch-ups for the first time on my oldest ones last year and they were made back in '99.