No protection on your power is a move that can end up with all your hardware blowing up. This happened to me a few years ago, my TV, laptop battery all exploded after a sudden surge from my neighborhood area (where I did experience good power). A cheap surge protector may/may not protect but as I've said 100$ is a good surge protector price and could be pretty much proven. If you're investing $500 USD on an amp/dac, why not protect it?
@Shahrose is definitely correct with the power conditioning aspect. I got decent power quality, especially at night time when everyone is asleep, but I will always use a surge protector. I did comparisons with/without the surge protector and the HD800 is a perfect candidate to demonstrate any SQ differences; there were none. Now my surge protector is about ~$120, I did try a cheaper one previously and the Mains hum was not only presently audible but amplified at an extreme level. YMMV.