Evolving from the concept of a Legionary Legate's personal bodyguard, under Augustus, the Praetorian Guard was established as the same, but instead were directly attached to the Emperor. The headquarters of the legion, or praetorium provided the namesake, and the practice was simply altered to encompass a much broader spectrum. The Praetoria Cohors, as they were first known, was originated with the emergence of great soldier politicians, Scipio Africanus being among the first to adopt these personal guards. Formed from the best, bravest and most loyal of his own men, the Praetoria were generally exempt from any standard camp duties, save for protecting their general.
While the later imperators, such as Caesar, Antonius and Octavian certainly fielded their own personal guardsmen, it wasn't until Octavian's ascession as Augustus, or emperor, that the Praetorian Guard as an institution was established. In the turmoil of nearly a century of civil war and social strife, Augustus saw the need to establish a body of soldiers explicitly loyal to himself. These guardsmen, unlike other military units, engaged in combat or went on campaign only at the direct behest, or in the company of the Emperor and the Emperor's family. Their primary role, of course, was the personal protection of the Emperor, but they also functioned as a police force both in Rome and other Italian cities, at least at their inception. Originally, Augustus wanted to maintain some Republican tradition, as well as avoid the appearance of tyrannical control. Therefore, those praetorians stationed within the walls of Rome weren't allowed to wear the customary armor or uniform that has been widely depicted. Called the cohors togata, this name reflected that these troops wore a civilian toga, more like the Republican era lictors than soldiers. However, they were armed with the standard army issue gladius, as opposed to the fasces (or bundled wooden rods) of the lictors. Outside of Rome, and on the battlefield, a Praetorian would be equipped in much the same manner as any other Imperial Legionary.
At the onset, Augustus recruited 9 cohorts of about 500 men each, essentially equal to the size of an imperial legion. Each cohort was eventually swelled to equal that of the double-strength first cohort of an Imperial Legion, so that each cohort, from this time on, was generally made up of 1,000 men. Three of these initial 9 units were stationed in Rome while the other six were garrisoned throughout Italy. At first each cohort was under the command of an Equestrian rank Tribune, but by the turn of the millennium, Augustus had created the overall command position of the Praetorian Praefectus. The Prefects eventually became incredibly powerful political players themselves, and in some cases wielded more direct control and power over the empire than the Emperor. Set up as an institution with supreme loyalty to the emperor, they eventually became a formidable political force, in many cases, both eliminating the current Emperor and dictating ascension to the throne.
The Praetorians were originally recruited from among the best available veteran Italian Legionaries. Service in the guard was an honored position, and was considered elite status for a soldier. Contrary to popular opinion, the Praetorians, especially beyond the Julio-Claudian era, often went on campaign with the Emperor. Enemy incursions into Italy or nearby provinces were also often met by Praetorian defenders. As the deep interior of the Empire was bereft of troops in comparison to the frontier provinces, it could often fall upon the imperial guard to secure the interior empire. They also accompanied those emperors who functioned as generals while on campaign. Of notable example are Trajan in Dacia and Marcus Aurelius while he conducted the war on the Danube, and the Praetorians certainly were involved in heavy action.