I think that this probably depends a great deal on the child in question and on what you are trying to protect them against (peer pressure to do drugs, have sex, whatever). At any rate, there are many different ideas and studies that purport to support the various ideas.
Some ideas include
- Emphasizing to students that "bad" behaviors are not the norm. Teaching them that "everyone" is not really doing drugs or whatever other bad behavior they might be pressured towards. (See tanglewood.net link)
- Enhancing self esteem so that kids don't feel like their worth is tied up with what their friends think.
- Teaching resistance skills (as in the DARE link) -- showing students how to stand up for what they believe and deflect attempts at peer pressure.