I've always heard that they're more resistant than incandescent bulbs but the information available isn't very clear. Some theories say that because it's a semi-conductor it would fry in a similar manner to an IC chip. Some say that because it's within a resistor network (as all LED lights need to be), it would be shielded. And some claim that the flashlight itself acts as a Faraday cage and would protect it.

Personally I don't think my gear will ever be exposed to such a pulse and don't really consider it something to worry about.