Where does your "Ethernet connection" go?
All 10BaseT (and 100BaseTX/1000BaseT as far as I know) equipment is required to have input protection, I believe it's 1kV, for a decent enough amount of energy. That's why you see a funny box thingy on NICs near the RJ45 connector, it's providing the surge protection. Now, I don't know if every $5 Chinese NIC actually complies fully with this spec, my guess is they don't, because most people wouldn't know the difference, and those who would wouldn't be buying the cheapest NICs anyway.
I surge protect any copper service coming into my house. Main power has a hard wired surge suppressor, as does phone and coax. The place to surge protect and the media to surge protect is whatever enters your home. The reason to do so is simply that you don't necessarily know or control what's on the other end, so you shouldn't trust that it won't be a problem.
This may sound conflicting. If you got Ethernet cat5e service into your home, then surge protect it. If it's cable or DSL, surge protect it at that level.
Leviton makes good power, coax, and POTS surge protectors. For ADSL, try Black Box (they're expensive, but they have specialty stuff like this and theirs is likely to work).