Styling hair with heat can be stressful for both your hair and you (when you think you're burning it). Heat protectants are not new to the beauty world, in fact I feel like they've become part of everyday hair routine for all people who style their hair with heat.
 I honestly didn't experimented with heat protectants that much, there are a couple I like and I use them all the time. I think they are great for any hair type, they've worked for both my sister's and my thick hair and as well my friends thinner hair.
GHD Style Heat Protect Spray
When it comes to hair stylers it doesn't get better that GHD. Once you had their straightening iron you'll never go back. Same thing with GHD styling products. This is by far the best heat protectant I've ever used. Smells great, leaves your hair silky (while helping to detangle it). It protects from heat very well, my hair was never damaged while I was using it, even while I styled it with heat every day (yes, I used to use my straightening iron every day, no bueno).
L'Oreal Paris Elnett Satin Heat protect styling spray-Straight
An amazing product, smells similar to GHD one, but it feels more like leave in conditioner when you first apply it. You have to leave it on the hair for couple minutes to work and then you can style it.
 There are three versions of this heat protectant: Straight, Curl and Volume. 
I always get Straight because I use it the most while straightening, it does keep my hair straight for couple days without additional styling but you can't get nice curls when you use it, the hair keeps straightening because of the formula. 
So for curls you want to get Curl. Good thing about this product is that it fights frizz successfully and that is a plus for all of us with crazy frizzy hair.
Toni&Guy Iron-It Heat Defence Spray
This one made it to the list because of its incredible smell. I love the smell of whole Toni&Guy blue hair straightening collection and this product is no exception. It protects my hair nicely, but I do have to use a lot of product. However it doesn't make my hair silky or easy to detangle. It gives it quite a nice shine, and, again, makes it smell incredible.
L'Oreal Paris Studio Hot Liss Creme Thermo-Lissante
Also a great heat protectant form L'Oreal, this one is different from the others because it's a cream. Don't be confused by the packaging, it was released in new packaging. You just squeeze some of it on your hands and spread all over the hair. It will make it soft, shinny and, you guessed, protected from heat.