It can be checked with the "IsProtected" console command, but as a rule of thumb, all followers (if they're following you) and spouses (once married) are protected. Mjoll is essential, however, as is Cicero and the Dark Brotherhood initiates (and Derkeethus, but that's a bug).

There are other actors who have the flag set on their actor base, and those are all hirelings, the Khajiit merchants (save Ri'saad, who is essential), the Thieves Guild members (except Brynjolf, Delvin, Tonillia, Mercer, and Vex, who are essential, and Dirge, who is neither protected nor essential), many Dark Brotherhood quest targets, and the player's Housecarls, plus a few other miscellaneous NPCs and creatures.

I'm on PS3 so I can't check with console commands. "Protected" means an NPC can't kill them? Mjoll is truly "essential" because I've heard conflicting stories about her?