They are typically two beefy MOV's (hot1-to-ground and hot2-to-ground) or three beefy MOV's (above plus hot1-to-hot2) in a sand-filled metal box. Most also have a little LED telling you that you're "protected" (I think this works on a few mA leakage current through the MOV when the MOV has not yet failed open.)
These are typically installed behind 15 or 20A breakers (at least the smaller ones designed for say 200A panels).
You could, but you'd then face the never-ending battle of getting your local electrical inspector to approve something that isn't UL listed. MOV's hit with a big surge really do explode into tiny little pieces, having those pieces flying about inside your panel isn't the most desirable thing. Sometimes they fail shorted, other times they fail open.
Putting the protection at the service panel (where presumably you've got a nice good low-impedance path to ground) is generally a better idea than installing it far away from ground.
Tim.