Nexus

The nexus is a mammoth, pyramidal structure that looms over each and every protoss settlement. It serves as a psychic anchor, allowing the protoss to access the psionic matrix from even across the galaxy. The nexus also manufactures probes.

Excerpt taken from the StarCraft Wiki.

Pylon

A pylon is a protoss structure needed for a probe to be able to warp in most protoss buildings (other pylons, nexus, and assimilators being the exceptions).

Excerpt taken from the StarCraft Wiki.

Assimilator

The assimilator is a protoss building used for harvesting vespene gas. Although materials were usually warped in from Aiur, vespene is still required for these materials to be produced and the creation of warp rifts.

Excerpt taken from the StarCraft Wiki.

Forge

The forge is a site of protoss technological development. Although their technology is incredibly advanced when compared to that of other species, the protoss constantly strive to enhance and refine their weapons and armor. Work at the forge rarely ceases, as this edifice is where much of the research takes place.

Excerpt taken from the StarCraft Wiki.

Photon Cannon

The photon cannon is an automated defense structure of protoss design. Although the protoss revel in the glory of personal combat, they also recognize the need for automated defenses. As such, the cannon fires an encapsulated antimatter sphere similar to that generated by the dragoon, which can target air and ground targets. They are enhanced with special sensor technology borrowed from the observer. Photon cannons require a link to the psionic matrix generated by pylons.

Excerpt taken from the StarCraft Wiki.

Gateway

Gateways create a swirling rift that warps in protoss warriors from their home territories to the location of the military colony housing the gateway. A phenomenal amount of energy is required for this operation and, as with most protoss structures, a gateway can only function if it is powered by the psionic matrix formed by a network of pylons.

Excerpt taken from the StarCraft Wiki.

Shield Battery

The shield battery is a protoss support structure. Its core contains a khaydarin crystal that absorbs and stores local psionic energy. The stored psi is transferred to protoss units via the energy spokes, allowing plasma shields to be recharged rapidly. While the battery has a limited energy capacity, it will steadily recharge itself over time.

Excerpt taken from the StarCraft Wiki.

Cybernetics Core

The cybernetics core provides upgrades for protoss aircraft and protoss cybernetic units. It also allows access to the advanced tech tree.

Excerpt taken from the StarCraft Wiki.

Citadel of Adun

The citadel of Adun is a floating meditation center for protoss warriors, named after the legendary Adun. The warriors spar and meditate there, striving to achieve the highest level of the Khala.

Excerpt taken from the StarCraft Wiki.

Templar Archives

The templar archives are dark, mysterious buildings that serve as training centers for the legions of both the high templar and, during the Brood War, the Dark Templar.

Excerpt taken from the StarCraft Wiki.

Robotics Facility

The robotics facility is a protoss structure which transports automated war machines to battlefields to support protoss forces. Each is controlled by a highly trained Master of Robotics.

Excerpt taken from the StarCraft Wiki.

Robotics Support Bay

The robotics support bay is an advanced protoss structure that provides research abilities for protoss mechanical units produced at the robotics facility.

Excerpt taken from the StarCraft Wiki.

Observatory

The observatory is a protoss structure. It is required for the warping and upgrading of observers.

Excerpt taken from the StarCraft Wiki.

Stargate

The stargate provides a warp link strong enough to call ships to a planet's surface.[1] A large amount of electric (or similar) energy is generated just prior to the ship being warped in, showing itself visibly.

Excerpt taken from the StarCraft Wiki.

Arbiter Tribunal

The arbiter tribunal enabled arbiters to be warped through a stargate. Arbiters were surrounded by a permanent distortion field, making them extremely difficult to safely teleport through a stargate without a tribunal to act as a space-time anchor.

Excerpt taken from the StarCraft Wiki.

Fleet Beacon

The fleet beacon is a protoss advanced building. Easily recognizable, the fleet beacon is built around a huge sphere carved from the largest and purest of khaydarin crystals. The beacon focuses psi through this sphere to strengthen and magnify the warp rift created by the stargate, allowing it to teleport the largest of protoss warships.

Excerpt taken from the StarCraft Wiki.

Mystery Sounds

I can't identify which Protoss building these sounds go to.