There are surge protectors and there are surge protectors. They are not all created equal.
The power strip type generally use metal oxide varistors (MOVs) for protection. These are devices that remain “off” until the voltage gets too high. Once the voltage gets too high, they turn “on” and essentially create a short circuit, shunting the incoming spike to ground. The energy dissipated generally blows the MOV, so it’s a one-shot deal.
The el-cheapo surge protector strips will only have an MOV between the hot wire and ground. A good surge protector will have MOVs between all wires, hot, neutral, and ground. That way any type of spike that comes in will get stopped.
The higher the joule rating, the better. An el-cheapo surge protector may only be rated for a couple hundred joules. A decent one will be in the range of a couple thousand joules. A good whole-house unit may be a few tens of thousands of joules. For the benefit of others who might be coming into this thread, there are some whole-house cheapies that don’t offer any more protection than what you can find in a power strip.
To put it in perspective, a lightning bolt has a few billion joules of energy in it, which should make it obvious why nothing that you can afford to buy will protect you from a direct strike. If you are interested in how they protect buildings like radio station transmitters from lightning strikes, google Ufer grounds, halo/ring grounds, and Faraday cages.
Another important rating is the amp rating. There are actually two amp ratings. One is for the standard power that the power strip provides, which will be something like 10 to 15 amps. If you plug a lot of computers and other things into the power strip you’ll want to be on the high end of this. The other rating is how much current the surge protector can shunt to ground, and this will typically be something like 50,000 amps. Again, the higher the number the better.
Next you want to look at the clamping voltage. This will typically be something like 300 or 400 volts. The LOWER the number, the better. If you have a 350 volt spike coming down the line, the 300 volt surge protector will clamp it, and the 400 volt surge protector will let the entire 350 volt spike through.
Another thing to look at is the response time, typically measured in nanoseconds. The lower the number, the better, as this means that the surge protector responds more quickly to a spike.
A good surge protector will also have indicator lights on it that will tell you if the MOVs are intact or if they have been blown. That way you know if the MOVs are still protecting you or if they already blew out in a previous spike.
As has already been mentioned upthread, a UPS gives even better protection, though it costs a lot more. A good UPS also has surge protection built into it, and the same specs above also apply. You also want to consider things like battery life with a UPS, and you want one with an inverter that puts out as close to a sine wave as possible. Some of the cheapies put out very square-ish waveforms, which effectively makes your AC line a bit noisy. Most equipment these days can handle that, but you may find that it causes some issues, like maybe extra annoying hum in your sound output.