All protoss structures must be built near a pylon and they take time to warp in but probes do not need to stay to build a structure unlike the SCV or even drones. A dangerous strategy is the cannon rush which is build photon cannons in an enemy base when they have a few weak units.
Cybernetics Core
Required to upgrade all Protoss aircraft and required to be able to build the stargate, the twilight council and the robotics bay. Also needed if players want to use stalkers.
Fleet Beacon
Allows the carrier and the mothership to be built.
Also upgrades carriers and void rays.
Forge
Required to upgrade protoss ground weapons, ground shields and armor. Also required to build photon cannons.
Gateway
Has the ability to be upgraded into a Warp Gate, which can "warp in" units across the map to any spot within the range of Pylons or deployed Phase Prisms. Each Warp Gate can only "warp in" one unit at a time and is subject to a cooldown period before it can use the ability again. In addition, newly warped in units will gradually materialize and be vulnerable for a period (like a newly warped in Protoss structure), and if the Pylon or Phase Prism is destroyed while the unit is being warped in, the unfinished unit will be lost.
Nexus
Builds Probes and Motherships. Also can boast production speed of any structure for 20 seconds. Provides 10 psi.
Pylon
Required to build structures and if destroyed any active structure around it will power down. Provides 8 Psi.
Robotics Facility
Builds Immortals, Phase Prisms, Observers and the Colossus.
Robotics Support Bay
This structure is needed to build Colossus and upgrade phase prisms and observers.
Stargate
Required to build protoss aircraft.
Templar Archives
Required to warp in High templars not dark templars and researches the High Templars Psionic Storm ability.
Dark Shrine
It allows Dark Templar to be warped in. Takes 100 seconds to warp in.
Photon Cannon
All purpose base defense that detects stealth.
One good common strategy is the Cannon rush. This strategy is done by building pylons, a forge and photon cannons in the enemy players base and use the photon cannons to attack the enemy player while he or she does not have any good combat units.
Twilight Council
Contains upgrades for the Stalker and the Zealot. Also required to build Templar Archieves and Dark Shrines.
Obelisk
A Campaign only structure that needs a pylon to power em to gain research points.