Here is the selection for bodyguards, security, entourage, and other protection-themed character roles:
Bodyguards - you can wear all black or dark colors of a suit or warm-up suit and skip the costume. Maybe get the spy earpiece to top it off. Or, you can wear a muscly suit under your clothes (if you don't already have them), and top it off with glasses, as you don't want your opponent to know what you're looking at.
Entourage roles are extremely flexible, as these could be bodyguards, personal assistants, celebrity managers, agents, etc. So you can wear a suit with a notepad or Walkie Talkie to talk to the rest of your team, or opt for a bodyguard costume as explained above. You can wear a trench coat costume or business attire - all of that works for these roles.
Security - same as bodyguards, but there are some 'security' t-shirts and hoodies to choose from. Select a fun wig, glasses and an earpiece or headset to top it off. Walkie Talkies always work as good props.
If you wish to be more outrageous - any of the protective roles can opt for an assassin-style or more superhero style costume. At the end of the day, you're character's daily duties are possibly to fight or manhandle targets, so wearing fighting gear is appropriate.
Sunglasses are always appropriate for the more clandestine roles (bodyguards, secret service, security).