I've seen electronics fry before, even when on a decent quality (Monster, which is likely on par with the likes of Furman, Pyle etc) surge protectors. Had a projection TV that lost 3 different boards after a lightening strike hit the house, everything else was fine.
Now obviously getting struck by lightening is pretty rare, but the odds certainly go up when there is a storm. I think the typical consumer level surge protector will work on typical spikes and such, but they obviously don't stop lightening. Probably in the fine print says they aren't designed to I'm sure.
I generally leave everything just plugged in, but occasionally, if I'm in the room, and there is a bad storm, like a really bad one we had the other day with tons of lightening strikes, unplug my rack plug from the wall, just in case.
Likely to get hit ? No. Might my Furman stop it if it its hit ? Maybe, but I figure if I unplug it, I am assured of nothing happening, and as I don't want to replace everything if I don't need to, figure the 5 seconds it took to reach down and pull the plug out made sense in that particular situation.