What do I need to protect when cleaning my car's engine?

That depends on how exactly you're cleaning it.

If you're referring to using a power washer, all electrics and electronics should be protected and not be sprayed directly.

All the wiring and connectors. I wouldn't clean it unless you have oil all over the motor and just repaired the leaks. If you have a distributor put a large plastic bag over it.

your knuckles

Use a rag and spray nothing unless you want a no start condition to ask about later.