OrphanWilde comments on Tell me what hat to buy - Less Wrong Discussion
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Both share the quality of decreasing the level of light entering your eyes (hats, by reducing your field of vision).
I was a huge fan of hats until I noticed the effect, which is limited to brimmed hats.
(Also consider social conventions about hats and their similarities to conventions about sunglasses. And consider the conventions themselves and how they would tie into these effects.)
Actually, no, that's not the important thing. Dark sunglasses hide your eyes, in particular their expression and direction. It's harder for other people to gauge you -- that's what provides the "sheltered and protected" feeling.
As to social conventions, I believe the ones about hats go back to showing trust (or submission) by making yourself vulnerable to attack.