Actually, they ARE affected by Earth's magnetic field! Have you ever turned a TV or a computer monitor through about 180^o and seen the funny colors on the screen? I have.

The reason we don't usually see the effect is because of built-in de-magnetizing coils called "degaussing coils" and a "shadow mask" which is also a part of the CRT. (Sometimes the built-in degaussing coil is not effective enough to remove magnetism left behind by magnets brought too close to the CRT, and in that case a separate degaussing coil may be used.) The built-in degaussing coil, which usually is activated when the CRT is first turned on, causes the shadowmask to contain a representation of the Earth's magnetic field and cancels its effect. If the CRT is moved after the degaussing coil has finished, the Earth's magnetic field will no longer be cancelled and you will definitely see the effect of the Earth's magnetic field.

There's a pretty good explanation at the following Internet sites:
beoworld
anatek

John Link, MadSci Physicist