There are a wide variety of input protection circuits.
Most of these protection circuits have historically been built out of discrete components. Some of them are now integrated into some "ESD resistant input" integrated circuits.
Most circuits only need to protect up to 600 V. "600 V is the arc over voltage of the standard wall outlet. If it's greater than 600 V, it doesn't get to your power supply, it arc's over the screws of the oulet." 
signal input protection
Alas, people outside the electronics world live in places that have "low humidity" and "carpeted floors".
Typically microcontrollers are placed in a box to protect them from such a hostile environment.
Alas, that box does no good if we directly run wires from the pins on the microcontroller to connectors on the outside of the box.
A variety of signal input protection circuits:
2 clamping diodes to plus and minus power rails
2 Schottky clamping diodes to plus and minus power rails
2 Schottky clamping diodes to plus and minus power rails, and a resistor. (All 3 components directly connected to the microcontroller input pin; the other end of the resistor connected to the outside world). 
transistor buffer (Matt Pobursky)
"Some of the old tube powered TEKs used a combination of fast glass diodes, honking big zeners and gas discharge tubes. Neat to see the gas discharge tube light up." 
On a PIC input, I like to use a the following :
1k 5V1 100nF 220k 15k PIC<--/\/\/\/----*----*----*----/\/\/\/---- Horrible outside world | | | --- --- \ / \ --- / | | \ | | / | | | --------------*----*----*--------------
-- Tjaart van der Walt 1999 
"By adding a transistor buffer to your circuit and reworking it a bit you can make a nearly bulletproof input circuit to the outside world."
+Vcc +Vcc | | / | \ | / 2 1N4148 1K | |/ switch --|<|---/\/\/\/--+--+--1| 2N3906 pnp | |\ --- 3 100 nF --- +------- to PIC input | / | \ 10K | / ---------------------+--------+---------
power input protection
diode pointing from GND to +power input (protects against reversed GND and +power)
Reverse Protection Diodes (protects against reversed GND and +power)
resettable fuses (polyswitch)
5.1 V zener diode pointing from GND to +5V ("crowbar protection", protects against power supply failing or something else pushing input power too high)
"super reverse protection diode emulator" -- a circuit composed of a MOSFET, a zener, and a resistor.
... or some combination.
I built a super-zapper that we used to test how long our input protection would last. We tried tried the trusty 1n4007, 1N4148 etc. They seemed to work ok, but the fast rising times of the spikes still cause very sharp 400V spikes to get through. We tried neon bulbs which worked damned well for dissipating large transients (into light), but we were still left with those horrible things. Next up we tried a 1k5E tranzorb that worked amazingly well. Zeners don't even see half the spikes, so if you want to use zeners, make sure you have a series resistor and a parallel cap (100nF).
If your budget allows, you can use fast recovery diodes, but I think it would be cheaper to use four different size caps over the supply with standard diodes. 100uF, 100nF, 1nF, 10pF. A 1R series resistor between the supply and the PIC can also do wonders for noise rejection.
-- Tjaart van der Walt 1999 
"DESIGNING ELECTRONIC EQUIPMENT FOR ESD IMMUNITY: Annotated Bibliography http://www.dbicorporation.com/esd-anno.htm
"AP-125 Designing Microcontroller Systems for Electrically Noisy Environments" http://www.intel.com/design/auto/mcs96/applnots/210313.htm http://developer.intel.com/design/auto/mcs96/applnots/210313.HTM
"ESD and RF Mitigation in Handheld Battery Pack Electronics" by Bill Jackson. Shows how to design a PCB with spark gaps between the ground and each I/O pin of the connector. The spark gaps reduce ESD to 2 KV or lower.
Gary Sutcliffe  says (slightly paraphrased):
ESD test: Essentially they take a high tech cattle probe and zap it. The CE requirements required that it be able to take an 8KV zap without affecting operation.
I solved the problem with the following techniques:
1. Good solid ground plane on the PCB. ...
2. Current limiting resistors (~100 ohms) and 5.5V MOVs on every input and output. ... 1206 SMT chip MOVs.
3. Keep the electronics insulated from the case. Be sure there are no openings that will allow the zapper to get at components or the PCB. ...