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A clear advantage of protected mode is stable multitasking. While multitasking is certainly possible on systems running in real mode, the memory protection features of protected mode prevent an erroneous program from damaging the memory "owned" by another task or by the operating system kernel.
In protected mode, the first 32 interrupts are reserved for CPU exceptions. Every time Windows shows a "Blue screen of death", for example, it signifies that such an exception has occured. For instance, interrupt 0E (13 in decimal) is a general protection fault and interrupt 00 is division by zero.
For compatibility reasons, Intel compatible CPUs boot into real mode, not protected mode. A task designed for real mode can run in protected mode using virtual 8086 emulation, should it be desired.
In addition, even when protected mode is enabled, memory above 1MB is not accessible due to memory wrap-around, a feature designed to mimic (now obsolete) IBM XT systems. This limitation can be circumvented by enabling the A20 Line.
See also: X86, x86-assembly