But in front of any modem, should be a modem surge protector, whether cable (coax) or DSL, or dial-up. APC recommends an RJ45 filter because even what gets through the first surge protector can still fry an ethernet port on a computer.
I recommend both as well. I had a situation in a thunderstorm once where everything was covered under UPS except for a phone line to my ADSL modem. I normally have my phone line protected via UPS but was messing around and forgot to put it back the way it should be.
Anyway, a lightning strike hit and sent who knows what through the phone line which lit everything up on the DSL modem and literally blew out it's power cable with sparks, pass it onto the Ethernet switch it was connected to and lit it all up as well. The switch then in turn passed it on further to my PowerBook, which was sleeping at the time, where it thought it was Network Administrator activity and woke up.
Thankfully nothing was fried and I wasn't using my PowerBook at the time but you never know what can happen.