I haven't done a lot of Protest marching, but for the little I have done, here are my notes to prepare in having the best experience possible.

Comfortable shoes.  Some protests can go for miles and miles and shoes make all the difference

Comfortable bag or hip sack.  In order to carry your supplies for miles and miles, and prevent a sore back and shoulders. A hip sack is handy for grabbing equipment

Camera phone, full charged.  Keep everyone up to date as you march by sending pictures to services like Flickr, Brightkite, Twitpic, etc.

Camera with fully charged battery.  This can serve as backup or for capturing higher res pictures

Video camera fully charged.  Bonus if your camera or camera phone also works as a video camera

Water.  Staying dehydrated will ensure that you stay aware and engaged in the experience

Snack.  A Clif bar or Power Bar will keep your energy up

Signage.  Hold a sign with a message that you hold near and dear to your heart and want to share with your comrades

Friends.  Its fun to participate with friends who believe in the same cause as you. <3

Additional items:

macartisan @tarabrown small, discreet digital video cam w/ removable flash media, friends' phone #s memorized & bail arranged

macartisan @tarabrown re protest prep - Optional if tear gas expected: 2-3 bottles distilled water, goggles, babywipes, stout bicycle helme