You can never have too much protection. Lightning can enter your home through your cable lines just as easily as the phone/electric lines. Of course, the NEC requires that we ground the line to prevent lightning damage, but that does not guarantee that lightning will not enter your home.
I recommend a surge protector for your cable modem if you're in an area with lightning storms (especially in the south). Make sure you get one that is cable modem compatible.
A surge protector shouldn't affect bandwidth. From what I've found, it will either work or it won't. Make sure you use a surge protector that is rated for cable and/or DSL modems.
Feedback received on this FAQ entry: