How can I protect myself during an earthquake?

During earthquakes, drop to the floor, take cover under a sturdy desk or table, and hold on to it firmly. Be prepared to move with it until the shaking stops. The area near the exterior walls of a building is the most dangerous place to be. Windows, facades and architectural details are often the first parts of the building to collapse. To stay away from this danger zone, stay inside if you are inside and outside if you are outside.

During Earthquakes and Aftershocks: Drop, Cover, and Hold on
A description of what to do during an earthquake. It is from the 7 steps on the road to earthquake safety from the publication Putting Down Roots in Earthquake Country.

LAFD Earthquake Handbook: Earthquake Tips
What to do during an earthquake if you are in a high-rise building, on a sidewalk near buildings, outdoors, driving, in a store or crowded public place, in a wheelchair, in the kitchen or in a stadium or theatre. Also has a post-quake checklist.

(FEMA) During an Earthquake
This page provided by FEMA instructs individuals on what they should do to protect themselves during an earthquake (outside and inside).