To be honest... most "surge protectors" really aren't anything of the sort anyway. Most are just simple power conditioners that will help smooth out noise and help you with minor brownouts or surges... but a major surge, like a lightning strike, will jump across most "surge protectors" in most people's homes. They are just feel-good devices, and yeah I use some of them anyway
The only safe way to protect your electronics would be to go around the house and unplug them when not in use... but that would be insane to manage and render many devices useless when they are most needed.
A really close lightning strike can actually induct enough of a charge that you don't even have to be hit directly to suffer damage. We had a TV partially fried in just such a scenario.
Oh, I don't disagree. However, all my surge protectors are valued at at least $50 and up. I also have several UPSes and if I'm home during the storm, I do unplug. I do know that they are only a certain level of protection, regardless, and given what lightning is it will pass through anything if it strikes close enough. However, from my experience in the business I've seen undeniable evidence that they do and can help in many, many situations. I used to work in a retail computer shop for 10 years and any time a big lightning storm came through, the next couple days we had a surge (pun intended) of people coming in with issues. Almost without fail, when we asked them if they had a surge protector they would say "no" (or if they said "yes", it'd turn out they didn't have everything plugged into it, or missed something like the phone line). Then there were a much, much smaller handful of people for whom the surge protector acted as a "fuse" of sorts, by self-destructing rather than letting the surge into the equipment (better to replace a $30-50 surge protector than a $1000+ computer). They are designed to do this. The connected equipment survived without damage.
I'm not going to discredit my anecdotal experience by making up guessed statistics. However, the above scenario was basically without fail for my 10 years there. They are not magical, impervious armor... but they definitely, without question, help.