Evolving from the concept of a Legionary Legate’s person bodyguard, under Augustus, the Praetorian Guard was established as the same, but instead was directly attached to the emperor.
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 fielded their own personal guardsmen, it wasn’t until Octavian’s ascension to 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 him.  Their primary role was the personal protection of the Emperor, but also functioned as a police force both in Rome and other Italian cities.

At the onset, Augustus recruited 9 cohorts of about 500 men each.  These units eventually doubled in size to about 1000 men.  Three of these initial 9 units were stationed in Rome while the other six were garrisoned throughout Italy.   By the turn of the millennium, Augustus had created the overall command position of the Praetgorian 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.

The Praetorians were originally recruited from among the best available veteran Italian Legionaries.  Praetorians often went on campaign with the Emperor.  Enemy incursions into Italy or nearby provinces were often met by Praetorian defenders.  Examples are Trajan in Dacia and Marcus Aurelius while he conducted war on the Danube, and the Praetorians certainly were involved in heavy action
After the death of Augustus under whose reign the Praetorians were unquestionably loyal, the political involvement of the Guard began in earnest.  During the reign of Tiberius, the Prefect Lucius Aelius Sejanus became a notorious tyrant using his power to liberally assassinate political opponents.  Tiberius’ heir Gaius (Caligula) was murdered by the Praetorians in 41 AD because of his instability and perceived mockery of the military and Roman institutions as a whole.  Claudius, his uncle was the first emperor to essentially be forced into power through the political machinations of the Praetorians.  Though opposed by the Senate, the Praetorians threatened revolt and the Senate was forced to accept Claudius as Caligula’ heir.  Claudius, however, despite early opposition would eventually be remembered by history as one of the most effective Roman Emperors.

After the death of Nero (59 AD), a civil war began which became known as The Year of the 4 Emperors.  The Guard supported whomsoever they pleased and Emperor Vitellius increased the Guard to a force of 16,000.  When Emperor Vespasian was victorious and became Emperor, the Guard was reduced to 9 cohorts.
In 193 AD, after the murder of Emperor Commodus, the Guard actually auctioned off the throne.  Didius Julianus, a wealthy senator, bought the Imperial Office, but reigned only 66 days when he was murdered by the men that put him there.  Septimius Severus reformed the Guard, essentially disbanding it for disloyalty.  Over the next century, the Praetorians were involved in plots to promote imperial candidates and effectively take command of the empire through their own political and military force.  With minor periods of order, such as Aurelian 273 to 275 AD, this disruptive pattern continued until the rise of Diocletian in 284 AD who basically relegated them to the role of per functionary, legionary force and relieved them of any guard duty.

The Praetorians weren’t yet ready to go.  In the turmoil of the 4th century AD, the Praetorians supported the “rebel’ Maxentius against the Emperor in the East, Constantine.  As Emperor Constantine marched west towards Rome to rescue the Emperor of the Western Roman Empire, he met the army of Maxentius and defeated them.  Constantine saw the futility of trusting the Praetorians any further and disbanded the units, scattering the soldiers all over the empire.
The Castra Praetoria, Praetorian’s headquarters building in Rome, was destroyed and after 300 years of service (and disservice) to the throne, the Praetorian Guard was no more.