Surge protectors are a wonderful invention that effortlessly part people from their money. They're useless, of course.
1. "Filtering" - all that nasty noise doesn't have a hope of getting through a regulated power supply, so it's pointless adding an external filter. Your mains power is already crackling with various communications signals from the power company, or in some cases broadband internet access! It doesn't bother the appliances.
An unregulated power supply, say a simple transformer-rectifier combo, can indeed pass glitches, so you may hear the snap, crackle and pop from a dirty appliance on your old stereo.
2. "Transients" - again, a regulated power supply, particularly a switching mode unit as found in any modern electronic gear, is relatively impervious to short duration glitches. The quality of the power supply can dictate how long a transient dip or spike can be managed. Have a look at the capacitors in your power supply. Big, aren't they? Now have a look in your surge suppressor.
3. "Lightning" - Let's get this clear. If lightning strikes your neigbourhood transformer or even closer, none of this junk is likely to help. Would you fly a kite in a storm holding a surge suppressor to protect you?
All these tests that blithely claim 4000V protection overlook the behaviour of electricity with the voltages associated with lightning, which starts to lose interest in copper wire and chooses any damn path it feels like. We're talking incinerated appliances, not sedately blown fuses.
Having said that, you might be lucky: the surge suppressor might stop a surge that is within its range but beyond what your equipment can tolerate. But then, you would be very unlucky in the first place to get such a strike.
True lightning protection has to be installed where the power enters the building, and it certainly doesn't take the form of a $15 surge suppressor.
4. "Overvoltage and undervoltage" - now this is more serious. In Oz for example, the nominal supply is 240V and can easily drift up to 260V. Much computer equipment is dual voltage, switchable to 110V or 220V. So power supplies may have to cope with 20% overvoltage day after day. Cheaper equipment is more likely to fail, plus any sustained transient may more easily push it over the edge.
And then there's undervoltage, or "brownouts". This is bad. Good for killing hard disks and God knows what else. This is what we have a UPS (or power conditioner) for. You only need a standby system for blackouts, but a power conditioner provides "buck" and "boost".
Having said all that, the average "powerpack" is just a transformer and rectifier, which makes it pretty easy to harm external modems etc. And cheaper equipment does seem to be more susceptible.
Now this rant was just off the top of my head, so feel free to search the web for scientific testing that proves me wrong. That would have to include suppressors actually protecting real equipment, not just a demonstration that they can shunt 4000V for 10mS.
Cheers!