If we are talking about protection of the power grid against lightning induced surges, then I will extend on what rigoletto said:
For a complete protection against surges caused by lightning, you need a cascade of TI+TII+TIII types of surge protectors. TI and TII are most often mounted in the main distribution box. TI being the most rough and also the most power-dissipating surge protector, most often of a spark-gap design. These protectors are able to dissipate huge currents of up to 50kA/pole (for households 12,5kA or 25kA/pole is enough most of the time). TII is for dissipating smaller surges (already filtered by a TI-type), mostly of varistor design. TI and TII are often combined into one device - TI+TII combined surge protection device (SPD) and mounted right in the first distribution box, as close to the point where the power supply cables enter the building, as possible. TIII types are small devices, mostly of varistor design, these can be inserted into individual wall sockets or extension cords as needed. I have one with me right now>
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As you can see, this device is capable of dissipating a surge of up to 6kV and max 3kA. That means, that these TIII types are meant to be used with coordination with TII and TI. What is this tiny device going to do if a lightning of 100kA strikes your building (half of that will go straight to the power grid according to norms)?
Those protecting extension cords are mostly of TIII and maybe TII design. They are absolutely incapable of doing anything in case a lightning strikes your building or a building in the vicinity. They may catch some surges induced by a lightning strike further away, or surges caused by switching of high inductive loads (such as bigger electromotors/electromagnets/transformers). If you are serious about complete protection, you should invite an electric installation designer engineer (or whatever he is called, my english is not good enough here, I mean the guy who creates drawings and schematics and knows all the relevant technical norms).
I know nothing about the protection of low voltage and low current devices (such as ethernet routers, coax cables, etc). This entire post is only about power grid protection.