Surge Protection, Generally a good idea
While I know my comments may disagree with some posts on here, so be it, but what you are really looking for is in non-UPS surge protector is protection from all potential sources where a surge can come in, this will typically be on your power lines and more often than not from something in your own home, like when your AC compressor cuts off, generally when it comes on you get a sag and a general surge protector does nothing to protect from sags, although most modern components have switching power supplies that are sort of immunue from sags, except in extreme cases.
Now what comes in on wire from the outside: Well you power, but also your Cable, and if you are hooked to a phone line, that also.
If lightening hits your cable, you will have a fried TV if you have not run the cable through a surge protector that has the right ratings on to protect from lightening, same for electrical feeds and phone lines.
I will agree that there are some grossly overpriced fancy "junk" on the market, one thing to look for unless you really know your electrical specs, is how much they will refund you if your stuff gets damaged using their device, if it is 0 then you really no real protection from a moneny perspective. APC for one, has on most of their equipment, and insurance value, for exmaple my UPS covers up to 15,000 in damaged equipment down stream.
Cable and other providors will often say don't use these, but they are not looking out for you, they are looking out for them. Adding any connection to say a cable means you get some signal loss at the connector and if it is not properly impedance matched you can lose a lot of power and then they have to put an amp in to get you back to a proper signal level. They may whine a little, but they will do it, my cable, by Comcast goes through an APC HT UPS/Surge/Sag protector. My signal strength was marginal and this was enough to drop it below their spec, I complained that I have $10,000 bucks of electonics on their wire and have a right to protect it, they put in an amp and life is good.
Since my APC is a UPS unlike a plain surge protector, it covers sagg (drop in power) as well we frequency out of range (60Hz), and votlate spikes.
I would suggest that you use a surge protector even if it is a cheaper one, might look in to 50-60 buck range, the next jump is in the 300+ buck range and now you are talking power contditioning and/or UPS, this is pretty much a nice to have in a home theater setting not a requirement and usually not worth the money, on your computer a good UPS is well worht it to me, but that is me.
Chances are even the best units will not protect your geat from a direct lightening strke to your electrical wires or cable feed, this is where the insurance comes in or get third party insurance like from Square Trade.
One last note, if you live in an area with higher than average electrical noise, then it is worth the bucks to get a good unti, generally a UPS so you are isolated from your external mains, other then that a medium priced surge protector for your electrical and cable is a good idea.
I live in a high lightening prone area with most overhead wires, I have had one APC die for my system and APC replaced it for free, and it did its job, it was fried but nothing in my HT was damaged.
If you live in a place where everything is underground, then you have a lot less risk from external spikes, most will be from, in your own house or that of a neighbor.
With a little googling around and using reliable sources like CNET, power companies, Consumer Reports, etc you can learn all you need to know to p[ick the right product for your level of comfort.
BTW -- All of the ones that claim using their protectors will improve your picture and/or sound are usually sort of lying, to 100% lie, but in general, it is only true if you live in a place with really noisy power.