On my SP1 I used the Incipio protectors that Microsoft carries at stores and their online site. A two-pack runs for $20; I like this, as you have a backup in case you mess up the first application. Even better was that it wasn't too glossy and fingerprints didn't linger very much.
My SP2 is covered with a Zagg Invisibleshield HD protector. While it may cost a little more and tout all these features ("self-healing," scratch resistant, etc.), I find the applied look to be a little strange. If you have ever seen someone with a Zagg, you probably know what I mean. My Surface's screen has an uneven texture now (you can't feel it, thankfully), and this protector unfortunately doesn't repel fingerprints as well. Part of me wants to go back to Incipio, but I don't know if there's a "wrong" way to take this off. The way the Zagg is applied makes me feel like I've fused it on, haha. I guess one perk of the Zagg is the lifetime warranty. Essentially, you can get it replaced forever.