It's definitely preferable to have it at the service panel with as
short a run to an earth ground as possible. That will not only protect
the whole house, but also do a better job of protecting the furnace as
well. The longer and more resistance in the ground path, the less
likely the surge protector will succeed in shunting a surge.

If you do go with one located at the furnace, either side of the switch
should provide the same protection for the furnace.