The protocols you mentioned are all WAN protocols that would be used to make connections over long distance. Say an office in California may connect to an office in Georgia over a WAN. Howver, the protocol being used depends on your ISP, the equipment you do/will have, and of course, the cost.
It is true the protocols you mentioned are all WAN protocols, and judging from your question, it appears you have not been working with an ISP or long distance carrier. What you really need is to understand the applications of the different protocols. PPP and HDLC are protocols most often used for dedicated point-to-point private line connections. Frame Relay is an older but still used protocol useful for situations where your bandwidth needs may change over the course of the day, e.g: bulk downloads at the end of the day or bursty data at peak times. ISDN is somewhat of a hybrid between dedicated and dialup service depending on what your carrier offers. Basically if you’re planning on getting a T1 (DS1) connection from your service provider it will likely be using PPP for a local termination, or perhaps HDLC if it is a long distance connection, ie. you’re connecting two very remote locations together. Lastly but not least, of course is the costs involved. Again depending on the application the connection will be used for.