Some supervisory circuits are used for thermal protection, and can consist of a temperature monitoring circuit, and a control circuit. The control circuit may either shutdown the circuitry it is protecting, throttle back the amount of power available in order to avoid over heating, or notify the system (software or use). These circuits may be quite complex, programmable and software run, or simple with predefined limits.
When a circuit is used to monitor the temperature of a specific component, it usually placed in a very close proximity. This is because the components used to detect the temperature, generally sense through the leads (pins) that are attached to the board. The farther the sensor is from the heat source, the less accurate the temperature is going to be.
Voltage protection consists of protecting the circuitry from either a case of supplying too much voltage to a load, or receiving too little voltage from a source. Either of these situations can have detrimental effects on the power circuitry of a system.
Two types of over voltage protection devices are currently used. These two types are clamping, which pass through voltages up to a certain level, and a foldback, which shunt voltage away from the load. The shunting creates a short circuit, which essentially takes the voltage away from the load circuitry. In certain applications this circuitry can reset itself after the dangerous condition has passed.
From the Littelfuse Electronics Designer guide. PDF contains a good introduction to circuit protection.