What rights do tenants have in foreclosed homes?

The main right(s) protecting tenants in foreclosed homes can actually be found in federal, not state law. If you look up the "Saving Our Homes" act, signed into law last May, you'll see that depending on your exact situation, it should let you stay in your home for either 90 days or the balance of your current lease term, following the purchase of the home at the foreclosure sale.

Apart from that, the new owners in or after foreclosure can evict you, but that they need to do so following the proper, legal eviction process--i.e. no just changing the locks or ordering you to get out without through the proper steps.

Pursuant to federal law a lender who takes possession of a property or a new owner who buys the building at auction has to let a tenant stay for 90 days from the sale or the remainder of their old lease, whichever period is longer.  The rules are a bit different if someone is buying the property to live in; in that case, they can terminate a lease with 90 days notice.

Note:  As for your security deposit, the landlord is responsible for it's return.  See if they will apply it to next month's rent; until title officially passes you are still obligated to pay rent to your landlord (since they are still the legal owner of the property).