Unfortunately you have had to learn the truth about these devices the hard way. There are multiple versions of "surge protection" and what you use is up to your discretion.
1) The "surge protector" power strips like you mention (typically $8-$50) offer a VERY basic form of power protection. If you have a higher quality model maybe you will be fortunate and it's internal breaker will trip before anything damaging gets through the lines. These are NOT good, even a little bit, during a lightning storm or other more extreme weather activity. If you only have one of these in an extreme weather condition, go unplug it from the wall as it's biggest benefit at that point is it gives a single point of disconnect. Your typical power spike occurs so quickly, that the internal components of these lower priced devices can't respond in time.
2) "Battery backup or UPS" systems give a higher quality of protection, at a higher price point (typically $40-$500 or more). Normally they have 2 sections on these devices, a group of outlets that offer surge protection akin to the surge protector strips mentioned above, and a group that offers surge protection with battery backup. These, again, are not super effective in electrical storms or the such, they are better than the devices above, but if you live in an area with extreme weather conditions your best bet is to still unplug your systems from the wall while these electrical storms are occurring. The big benefit (and something a lot of people don't realize) to battery backup is that your device is actually running off the battery ALL THE TIME. This means that the power drops and spikes that occur in every home's (and business) electrical system are balanced out to a steady current of power being fed to your devices. In the event of a power outage, they might give you enough time to properly shutdown your equipment, or even keep it on until powered is restored, assuming you get one with enough battery power (which translates to more expensive devices).
3) Your best method of single layer protection is "whole house protection". These devices can be purchased at places like Home Depot or Lowes for a lot less than people think (quite a few models can be found for right around $50). Installation might be a little more if you need to call in a professional and have it installed. The key is to have the device attached to the main ground of the house (or building). This then takes random lightning strikes and other types of power surges and puts them straight to ground where they can do minimal harm.
So with all that in mind, your most effective more of protection would be to install a "whole house surge protection" device, along with battery backups and power protector power strips (the strips become quite redundant after the whole house device, but better to have too much protection than not enough). I personally place battery backups on all my expensive equipment (computers, TV's, stereos, basically anything that would seriously hit my pocketbook if I had to replace it due to a power surge) and then use higher quality power strips anywhere else.
With all that said, if you live in an extreme weather area with intense lightning storms, you need to get in the habit of unplugging all devices you possibly can during the more severe storms. The only guaranteed protection against a big lightning strike or other type of surge is to NOT have your devices attached to the houses electrical system when they happen.
Hope that helps, and as a disclaimer, I am FAR from an electrician, just done some of my own research and I would appreciate any modifications or corrections to anything I stated above as I would hate to steer anyone in the wrong direction.
Tekamba Computers, LLC
Prescott Valley, AZ