Is the train protected? Do any wizards accompany the kids in case the train is attacked?
Why didn't Voldemort simply attack the train in book five and kill everyone?
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Luna Lovegood is taken by the Death Eaters from the Hogwarts Express.
"...and if you ever come to our house I'll be able to show you the horn, Daddy wrote to me about it but I haven't seen it yet, because the Death Eaters took me from the Hogwarts Express and I never got home for Christmas," Luna was saying, as she and Dean relaid the fire.
(Deathly Hallows, Chapter 25, Shell Cottage).
The Death Eaters controlled the Ministry at the time so the Hogwarts Express might not have been as difficult to storm as it would ordinarily. Nevertheless, there didn't seem to be any guard or protection on board.
The Dementors also enter the train pretty-much unopposed in Prisoner of Azkaban. There didn't seem to be anything to stop them coming aboard.
Sometimes teachers ride on the train. Remus Lupin and Horace Slughorn do so, but there's nothing compelling teachers to be present (for protective purposes or any other reason). It's simply an option for getting to Hogwarts for those teachers who want to avail themselves of it.
Why didn't Voldemort attack the train and kill everyone? He's usually more...subtle than that...
During the first five books, there is no indication that there is anybody on the train for the specific purpose of guarding it. As already mentioned, there are always at least two wizards on board but I would not expect them to have ever needed to defend the train, except perhaps from the occasional magical beast.
As for why Voldemort didn't attack the train at the beginning of OoTP, that would have tipped his hand and made it impossible for the Ministry to continue to ignore his return. That might not have stopped him if he could be certain such an attack would succeed in capturing Potter, but there were at least two good reasons for him to wait for a better opportunity:
Dumbledore knew that Voldemort had returned, and might have anticipated an attack on the Hogwarts Express and taken counter-measures up to and including being on the train himself. For that matter, we don't know that he wasn't; he can become invisible without a cloak.
Harry had already escaped Voldemort once under much more favourable conditions, and Voldemort still didn't know why. In the panic and chaos of an attack on the train, there would be every chance that Harry would manage to slip away under his cloak. He probably wouldn't have done so, but Voldemort didn't know that.
I don't think Voldemort had any particular plan at this point - the one he eventually put into play depended on information he didn't have yet - but he was quite right in judging that a better opportunity would come along sooner or later. If nothing else, he would always have the option of attacking the train the following year, when he'd be in a much better position to do so.
PS: Harry was the only person on the train that Voldemort actually wanted to kill. He was perfectly willing to kill other children if it was more convenient for him to do so than to let them live, but the slaughter of an entire generation would serve him no useful purpose.
'But you are a pure-blood, aren't you, my brave boy?' Voldemort asked Neville. 'You show spirit, and bravery, and you come of noble stock. You will make a very valuable Death Eater. We need your kind, Neville Longbottom.'
--- Chapter Thirty-Six, "The Flaw In The Plan", Deathly Hallows [abridged]
He was far less complimentary in the movie version, but if I remember rightly he was nonetheless intending to allow Neville to live if he submitted to him. That's for entirely practical reasons - he needs as many wizards as he can get if he wants to conquer the Muggles and ultimately the rest of the world.
Voldemort kills when it would be inconvenient to let someone live, or when he's in a bad mood. Or for fun. He's not a very nice person, really. But he's never carried out or ordered large-scale slaughters without specific reason.