For a Lie algebra sheaf L of derivations of a sheaf of rings O on a space X global cohomology groups and local cohomology sheaves are introduced and analyzed. Global and local splitting obstructions for extensions of modules over a Lie algebra sheaf are studied. In the applications considered, L is a Lie algebra sheaf of vector fields on a manifold M, O the structure sheaf of M. For vector bundles E, F on M on which L acts, the existence of invariant differential operators D: E→F whose symbols are preassigned equivariant maps is discussed in terms of these splitting obstructions. Lie algebra sheaves defined by Lie group actions are considered. This theory is applied in particular to the case of a transitive L. The splitting obstructions for extensions of modules over a transitive Lie algebra sheaf are analyzed in detail. The results are then applied to the problem of the existence of invariant connections on locally homogeneous spaces. The obstruction is computed in some examples.