The best protection would be a double-conversion UPS, but for most things, that's overkill. If you look at some of the surge suppressors designed especially for entertainment systems, most of them have significant guarantees on connected equipment - up to $250K or more on some of them. If the surge suppressor sacrifices itself, and your connected equipment is unharmed, though, many won't warranty the device; but, if it dies AND you equipment dies, they'll pay to replace it all, up to the warranty.
The surge suppressor itself needs to be plugged into a grounded outlet, but the devices coming in do not. Depending on how much protection you want to have, a decent one costs at least $100, and you can spend significantly more. The better ones not only do surge suppression, but also filter noise up on the powerline - including noise that may be injected from one device to another. The magic numbers to look at are how many joules it can absorb and how fast it can respond.