Protected Vs. Unprotected Batteries
When shopping for cylindrical style batteries (18650, 20700 21700, 26650), you will have a choice between protected and unprotected cells. Protected cells, as the name might suggest, have a small electronic circuit integrated into the battery packaging. This is located one end of the battery and is indistinguishable from the cell itself.
This circuit protects the battery against dangers like excessive charging and discharging, short circuiting, and extreme temperatures. This is designed to protect the devices you use them in, and to prevent damage from explosion or leaking.
Many protected batteries also have a valve which disables the cell permanently if the pressure becomes too high inside the cell. This is commonly what happens when batteries swell, at which point they're more susceptible to igniting.
Unprotected batteries lack this circuitry. They're cheaper as a result, and also more prone to the problems that such protections are designed to avoid. If you choose an unprotected cell (and many of the best cells are unprotected), you should take extra care when choosing and using your batteries.
Pay special attention to the discharge rating (CDR) to ensure you're not drawing excessive power from a cell, or it may overheat. You also need to keep the contacts covered, ideally in a plastic case so the batteries don't short in your bag or pocket. You'll also need to make sure you don't leave your batteries in the charger too long.
When in doubt, go the protected route and spend a bit more.