Although John is correct that most electronics have some ability to present the wall current to the electronics within parameters the units require, this does not mean all units handle fluctuations from wall currents 100% perfect all the time. Heck, check out some of the latest computer power supply reviews where some are tested for such variances in current. Some fail miserably, some pass just within specs, some go beyond. It does not always come down to brand name although usually most brand names of reasonable cost are effective.
For audio equipment, if the power dips low enough, chances are the unit will shut off, but in the case of some other electronics, like monitors, you can get flickering in the image. Not all electronics are made with robust capacitors to protect against mild surges and dips all the time. With a bit of higher volumes on my Onkyo i can get the lights on the display to dim with the beat of the music! What does that say about its 'robust' power supply?
I don't believe in line conditioning since the majority of the time such current fluctuations do nothing and the user will not notice them. It really can depend a bit on your area, but i still wouldn't put much money in conditioners.
As for surge protection, i think John is being a bit liberal in saying the power cord will burn up long before a lightning strike can damage electronics. As a person who lived through a lightning strike while in university residence (it hit 20 feet outside our room window), i can say with experience that such statements are not true. The lightning strike blew out a lamp post, burnt a housemates portable radio and permanently fried the switch on a neighboring flourescent light such that the occupant could not turn it off. It also knocked 2 guys off their feet who were tossing a football about 15 feet away and one of them lost his eyebrows for a couple of weeks.
The surge of electrons from a lightning bolt is truly amazing, powerful and of course as fast as electricity is. Believe me when i tell you surge protectors are useful things. Power cords and the like will NOT save your equipment.
My wife's family also had a lightning bolt strike their house when she was a teenager. It went up their modem phone line and destroyed their computer. Such experiences do not support the line burnout hypothesis.
Personally i believe if a surge protector can save the equipment one has spent time putting together (possibly even unique components) and still enjoys, then buy one. Not all house insurance is that reliable in replacing thousands of dollars of hifi electronics. It is an easy $20 solution. I like my system and i hate dealing with insurance companies so i bought a $100 Tripplite to plugin about 6 items in 2 sockets (no big power suckers other than the RPTV though). It made it alot easier for cable organization to boot.
