How to deny Protoss observers effectively
Terran: If it's in your base, probably just make a turret, it ends up being cheaper than a scan. If you want one in outside your base then maybe consider ravens if it fits with the rest of your strat, otherwise just scan.
With Zerg probably overseer. You mentioned what if you don't have a lair? The question is why don't you have one? There are legitimate reasons, like you're going for a big early-mid game push with low tech, that's fine, but then by the time they get an observer it's usually too late. Otherwise you usually have a lair about the same time or before they get observers. Remember it's Pool -> Lair, whereas it's Gateway -> Core -> Robo so that's higher in the tech tree.
For Toss, having your own observers is generally good anyway, but unless you're going air, you should have a forge at some point to upgrade. (Actually that applies to all races, except maybe Terran if you're going Mech in which case you're upgrading from the armory) If you are going fast air, then that's probably just bad luck that they saw it, but I haven't seen many toss go air since the void ray changes.
Before you do any of that though, you should determine first off, are you actually trying to hide anything? Are you going to be doing anything that would make your opponent change their plan based on seeing it. If not, then maybe you can just let the obs sit there for a while. Don't need to take time to deviate from your normal plan to stop them from seeing something they could've guessed already without seeing.
- I think that question is how to find observer w/o scan.
If you suspect that you have a observer staying still in your base then try to find it by rotating camera (mouse wheelorIns/Del) in 2-3 "popular" places - you'll notice texture distortion caused by cloak effect. Then scan & kill.
Ravens are great support against protoss army (deny obs and disable stalkers) so consider to build one - overseer
- observer
Do note that static defense should never be considered where a mobile defense is an option, and in the Terrans case, a Raven may appear costly at first, but it's versatility (and mobility), in terms of a car mileage analogy, goes a loooooong way.
But yeah, having Turrets (for Terrans), Photon Canons (Protoss) or Spore Crawlers (Zergs) around your base should deter any observer from observing at will, and should help you hunt for them sufficiently -- then again, do note that it's okay for your opponent to find out what your tech tree will be, as long as you 'power up' faster and attack swiftly, leaving your opponent with little time to react.
Some time passed from the question, for now my observations for high level players tell me that if you playing Terran vs Protoss and detected observer - immediately get your 3-5 closest marines, use scanner and kill observer.
Yes, this way is more expensive then building turret (270 minerals vs 100), not a 'long-term' investment, but work right now and provide 100% guarantee on success. In case of turret building opponent can get observer back, etc. This 'investment' is worth as it force opponent to build another observer (45 seconds, and some money) instead of building Immortal/Colossus.
Due to these reason I would say that is the best method to deal with opponent observers if you don't have turret/Raven right now.
P.S. Once I figure out answers on other own questions, I will add them here.