First there is no surge protector that will protect from a direct lightning strike, that's what insurance is for. Surge protectors come from when energy enter the power lines, cable lines, phone lines etc. Your first defense is make sure your home's ground is good, n electrician would check this. Because without a solid ground my next suggestions won't work well. The best protection is a whole house surge protector installed by an electrician at your electrical service panel. You should also have one for the cable line as well where it enters your home. This will protect from most surges coming down the power lines and lightning is a big cause of these types of surges. Surges coming from within the house like when motors turn on and off, etc. can be stopped by a dent surge protector. I would recommend one that doesn't divert the surge energy to ground. Surge X, Zero Surge, Some Furman models are common brands but there are others. Either way it is not something you are going to find at an electronics or hardware store.
There are also HDMI surge protectors and we have seen your problem many times where the damage blows out all the HDMI ports. If you have everything else in place I would consider HDMI surge protection the last level of protection but you can get it in lieu of some of these other devices. I know budget gets crazy with some of this stuff and it is a little over kill. So if I had to do one thing it would be the whole house surge protection for electrical and cable lines but an HDMI protector might be less expensive.
Lastly, sags in power cause more damage than surges and are more frequent so a UPS is a good idea.