The cheap ones contain thyristors which do not conduct until a certain excessive voltage is reached at which point they conduct after a short delay and in theory short out the spike. If you look at the specifications most of them contain similar quite cheap components. More expensive versions have indicator lights to show that they are OK as thyristors are often destroyed by a big spike. The problem is that a lot of spikes get through below the conduction threshold and that serious spikes can cause a lot of damage before the thyristor fires. And thyristors alone can clip certain waveforms to produce even more harmful transients prompting some companies such as Compaq to advise against their use.
More expensive protectors have filters as well as thyristors.
This cuts the high frequency energy from both spikes and noise, works without appreciable delay and so protects and complements the thyristor. Typically the filter comes first then the thyristor and then maybe another filter. Check that the components are rated to carry the necessary current. You can also get spikes and noise down the telephone line for the same reasons and indeed a surge protector is a good idea for a modem too. Some of these are sold separately and some are included in the dearer surge protectors.