What Kal said. I've just put in whole-house surge protection as well as Hubbell MOV-based outlets for each place where I've got expensive gear. Yeah, MOVs aren't the best; the Hubbells do, however, have a light on them telling you if the surge protection is still any good.
I've also put a surge protector as close as possible to all my coax, ethernet, and telephone line-connected gear. For example, my satellite receiver has a surge protector for it's phone line that has a six-inch piece of telephone line between them.
Next, I have on order a Tripp Lite online, double conversion UPS - model number SU2200XL (http://www.tripplite.com/products/product.cfm?productID=2665). This UPS has three components in series: an inverter that converts AC power to DC power, a battery that stores the DC, and a second inverter that converts the battery's DC back to AC power. Basically, it feeds a battery from an AC outlet and then feeds electronic gear from the battery. Ergo, massive surge equals one dead AC-to-DC inverter but the surge will not be able to get past the battery. Not bad, huh? They're not cheap. But then you're assured of your gear getting perfect sine wave AC coming in from the battery at 120V AC (+/-2%).
Finally, the UPS (once I get it, that is) feeds a Balanced Power Technologies BP-3.5 Signature PLUS (http://www.b-p-t.com/news2.shtml). This power conditioner feeds balanced power to all of my gear.
To sum it up: surge protection at the panel, more surge protection at the wall, a UPS that provides surge protection with finality, and a balanced-power line conditioner to which all my gear is connected. The line conditioner is overkill as the UPS is feeding it a pure sine wave; however, I already had it and still want the balanced power so I'll be keeping it.