You should use a protection against lightening and power surges or a UPS if you have many thunderstorms in the area. That will save hardware, software, your time, and money, and help prevent you from throwing out that old monitor, CPU, or modem when it gets trashed by lightening. For details consult the UPS-HOWTO.
For desktop PCs, in areas prone to lightening or power outages, UPSs could save hours of work each week, potentially translating into power savings. However, there is some concern over their additional usage of AC power. If anyone has any studies or research on this issue, could they please forward it to us? That would be an interesting question to post to APC, BEST, etc.
UPSs also contain batteries with a high environmental cost. So, just use a UPS when really needed and when benefits outweight environmental costs. For example, if you are using a notebook, a much cheaper surge protection is enough thanks to your battery.
People have also reported issues using unreliable power sources, for example in trains. Make sure you use a surge protection device then!