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Now before I get flamed I know they have many differences, but I don't know the megaman universe that well. The reason why I am asking is because I have a friend who thinks that they are exactly the same and when I tried to tell him that they are different he asked me how and I wasn't exactly sure. I want to prove my friend wrong :) Feel free to tell me as many differences as possible. ---
Protoman is red zero is re- Protoman was evil Zero was ev- Protoman is cooler then the main char Zero is cooler then the M- Protoman has a gun as a main zero has a gun and a sword Zero has yellow hair Protoman has a yellow scarf i found 2 diffrences :D
Protoman is a prototype robot, the first creation of Dr. Light. Zero was meant as an ultimate weapon, the final creation of Dr. Wily.
Protoman uses a buster similar to Mega Man, and a shield. Zero primarily uses an energy sword called the Z-Sabre, though he sometimes has a buster, too.
Protoman is mistaken for a villain by many players, because you had to fight him (in what Protoman clearly considers merely tests rather than duals to the death) in Mega Man 3 and 7, but he spends most of his time helping out behind the scenes. Zero starts off as a villain (because he was created by Wily), but after being defeated by Sigma (who destroys one of Wily's control chips), reforms and becomes a Maverick Hunter - this all takes place before his first appearance in MMX.
Protoman doesn't like to fight directly, because he has an unstable power core and a short lifespan. (He could theoretically get it repaired or replaced, but he believes that Dr. Light will shut him down instead of repairing him, so he refuses) Zero is a front-line fighter who is often right at X's side (and later takes over the protagonist's position in the MM Zero series).
In other words, other than being red, they really have nothing in common at all.
Proto Man was working with Wily in MM3, so technically he was "evil" at one point. But he turned on him in the end of MM3, and has been good ever since. Even in MM3 he was working under the assumption that Dr. Wily wasn't evil (since Wily was doing his first "I'm really a good guy working together with Light" act), so calling him evil at all is pretty questionable.