If you want the absolute best setup, then you'll connect your equipment to a beefy UPS and connect the UPS to a
brickwall. That will cover you from dirty power, brownouts, and surges, and allow you to power down your equipment normally in case of a power outage. However, that setup would be quite expensive.
I personally took a $10 surge protector and plugged an APC smart UPS that I salvaged from work (and replaced the battery) into it. The only thing connected to it is my HTPC and my cordless phone (so I can use it during a power outage).
For everything else I bought an
APC H15. I wouldn't have paid normal price for it, but I got it for $80-85, and I think it's great at that price. The H15 acts as a surge protector and AVR, so I plug it directly into the wall. For comparison my UPS is rated for 480 joules of protection and the H15 for 5270. I don't have a rptv, so cooling down is a non-issue. My PS3 is the only other sensitive device (since it has a hard drive), but I don't think losing power instantly would damage it.
The main things I want to protect against are brown-outs and my dirty power. If there's a brown-out, the AVR will bump the voltage if it's only a little low and then completely turn off if it gets really low. The UPS will do the same, except that it will go to battery when the voltage gets really low.
As far as dirty power goes, every time I turn on the dryer or the AC, the lights in my house dim. Obviously they dip down in power for a second, and I don't want my electronics to suffer from that. I can hear the UPS and AVR kick into boost mode whenever this happens, so I know they're doing their job.
For my second "HT" setup I have my gaming computer and two monitors (one of which is a 32" TV) connected to the UPS. The printer, speakers, and other accessories are just plugged into a $10 surge protector. Those other devices aren't worth $85 for another AVR (assuming I could get one at that price), so I just don't worry about it. I'd hate to lose the other equipment though, which is my reasoning for the UPS. Hopefully the UPS is still enough once I get my 4890, but I have my doubts about that.