That depends on where your live (and when), but: Protest is the cornerstone of democracy and in general you shouldn't need permission to organize a demonstration.
https://www.brookings.edu/articles/can-democracy-exist-witho...
Name three currently existing democracies. USA is out (protests illegal), Europe is out (protests require registration which is denied for anything that has a risk of effecting change), the Middle East and Asia are out for obvious reasons. Maybe there's a democracy somewhere in Africa?
I prefer voting. I find protests annoying. They're a good way for people to let off steam, hang out with friends, get photos for the international press etc. but they're not the right mechanism for finding out what the people want.
They're definitely effective when most of the country wants the government out, but by that point a vote would certainly do just as well, and with fewer flying bricks.