Ok, this will be a long one:
Protect/Detect don't work against the following moves in...
...Gen 1/2:
Curse
Future Sight
Perish Song
Psych Up
Transform
...Gen 3:
Curse
Doom Desire
Future Sight
Imprison
Perish Song
Psych Up
Role Play
Transform
...Gen 4:
Acupressure
Curse
Doom Desire
Feint
Future Sight
Imprison
Perish Song
Psych Up
Role Play
Shadow Force
Transform
...Gen 5:
Acupressure
Curse
Doom Desire
Feint
Future Sight
Imprison
Perish Song
Psych Up
Role Play
Shadow Force
Transform
Safeguard prevents the user and its party from being affected by any status condition for five turns except those caused by special abilities, held items or self-inflicted statuses. It also does not block the effect of Yawn if Yawn has already been used, and it does not cure an already existing status. It does not prevent special effects that are not status conditions, such as Perish Song and Curse.
Substitute
Gen 1
Once created, all stat modifying attacks and side effects of attacks
used by the opponent against the user will fail, though all current
stat modifiers will remain in effect and any stat modifiers used by
the user will also be applied to the substitute.
Substitute will not alter the execution of Bide, Counter, Disable,
Haze, Leech Seed, Super Fang, Transform, or partial trapping moves,
and it will not absorb crash damage, recoil damage, or recurrent
damage. However, a substitute will absorb self-inflicted confusion
damage and prevent the user from flinching.
Substitute don't work against the following moves in Gen 2-4:
Attract
Curse
Defog
Destiny Bond
Disable
Encore
Foresight
Grudge
Guard Swap
Haze
Heart Swap
Imprison
Miracle Eye
Odor Sleuth
Perish Song
Psych Up
Roar
Role Play
Skill Swap
Spite
Taunt
Torment
Transform
Whirlwind
Gen 5
Substitute now blocks Transform and the stat lowering effect of Defog,
and Sky Drop will fail if used against a Pokémon behind a substitute.
Otherwise it's the same moves aren't blocked as in previous generations.
Magic Coat also protects the user from any Status move.
If you can call it that, Snatch also protects the user from any Status move used on the same turn as the user uses Snatch.
The weather moves can be used regardless of Subsitutes, Safeguards and Protects.
A Pokemon with Mold Breaker, Torboblaze and Teravolt can use a stat-reducing move against Pokemon with Clear Body, White Smoke, Hyper Cutter and Keen Eye.
Source: Bulbapedias articles on each of the stated moves and abilities.
