The cheapo parts are called MOVs, metal oxide varisters. They are very cheap and all they are is voltage switches, that wear out over time, and when have high current through them, become light bulbs and can start fires. Now the reason why they aren't very good is that they don't block and or absorb the surge energy, all they do is shunt it to the ground in most cases. Now this isn't necessarily good because when the surge goes to ground, it makes your electronic devices "grounded" case have a high potential voltage, so you can get arcs between the case and internal components. I have enough friends who had major surges that the protectors did nothing. SO, that forced me to research the heck out of the topic and I found, what I think are the best surge suppressors made that can be acquired here
http://www.sellcom.com/brickwall.html I do not work for the company but I am a believer based on my experience with them. They use a different method of surge suppression which uses large high quality components in comparison to the crap that APC, Belkin, Monster and many others use to keep costs down. The site has more explanation on why and how they work, but the bottom line is that they STOP surges, by using a combination of capacitors and a large toroidal "surge reactor" that converts any slip through current into heat, but its big enough to absorb a lot of that energy. Now the best benefit is this also acts as a line filter...how much does monster and many other companies charge for stand alone line filters? Well with this you get true surge stopping and excellent filtering. I am a professional videographer and I have high quality audio monitoring (Apogee Rosetta, and Blue Sky monitors, for those in the know), and I procured one of the 8 plug audiophile (each outlet is isolated from the others) units to plug my speakers and a/d converter into and what a difference! I almost fell out of my chair it sounded so much better. For my computer equipment, I bought special request, 2-plug 20A units with standard plugs to connect my APC 1500 RS battery backups into, thus feeding clean surge free power to those units...which should make them last longer too. They aren't cheap, if you buy 5 or more you get a nice discount, but they range from about $160 to $250 each. If this makes you go hmmm, remember how much you invested in your TV, stereo, computer, etc and its insurance that once paid for will remove worry for many years to come that power issues are messing up your electronics. Heck get a few folks to buy in with you so you can get the bulk discount... Best investment I have made. Good luck!
Ah, I just saw someone else recommended Brickwall too...amen! They are worth every cent! You can even have your home wired with their OEM units.