Wireless sensor networks have recently been suggested for many surveillance applications such as object monitoring, path protection, or area coverage. Since the sensors themselves are important and critical objects in the network, a natural question is whether they need certain level of protection, so as to resist the attacks targeting on them directly. If this is necessary, then who should provide this protection, and how it can be achieved? We refer to the above problem as self-protection, as we believe the sensors themselves are the best (and often the only) candidate to provide such protection. In this paper, we for the first time present a formal study on the self-protection problem in wireless sensor networks. We show that, if we simply focus on the quality of field or object covering, the sensors might not necessarily be self-protected, which in turn makes the system vulnerable. We then investigate different farms of self-protections, and show that the problems are generally NP-complete. We develop efficient approximation algorithms for centrally-controlled sensors. We then extend the algorithms to fully distributed implementation, and introduce a smart sleep-scheduling algorithm that minimize the energy consumption.