My main road bike has Gatorskin tires, which are puncture resistant.
On my other bikes, I use tire liners, and have not had a puncture while using them.
I have heard that Gorilla Tape works as a tire liner. I have some, and it seems tough enough, but haven't used it for tires yet.
In the Denver area we have these awful goathead thorns, so some sort of protection is needed.