They do matter and there are differences. The price differences are typically due to distinction in functionality. Surge protectors are, as the name implies, devices that protect your equipment from a surge of power. They're rated based on energy absorption expressed in joules and clamping voltage expressed in volts. Generally higher joules are better and lower volts (clamping) are better.
The more expensive devices like the Panamax are classified as surge protectors AND power conditioner. They have additional functionality that results in a significantly increased price. Things like isolation transformers and power line noise filters.
My decision would be dictated by the quality of the power in my house or area. I've never lived in a home that, IMO, required the functionality of a power conditioner, but everyone's use case is different. I've aways bought quality, appropriately spec'd (based on the gear behind it) surge protectors and have never had any issues (knock on wood).