How can appliances get fried when they are turned off, but plugged into surge protectors?

How can I keep it from happening again? There was a recent problem in the electric- it sounded like a transformer blew or something and there was crackling in the appliances of the house, I ran and unplugged the computer, and the DVD player started smoking. I ran and unplugged the TV and DVD players, and by the time I got back to the office, there was smoke coming up there too, my subwoofer and printer fried. I lost our American DVD player, my subwoofer speaker system, and my printer. These were plugged into two surge protectors, one plugged into the other. There are three fuses, the main one for the whole house out at our counter, a main one for the downstairs, and then the fuse for the outlet. How come none of them turned off, but the appliances got fried?