Unplugging from the wall anything you *don't* want fried during a lightning storm is a good idea.

Cheap surge protectors are basically a MOV (metal oxide varistor) between the "hot" leg of your power and ground that will hopefully shunt voltage spikes to ground. And there's a lot of "hope" in that "hopefully".

More expensive surge protectors will have three MOVs (one between each pair of inbound wires - hot-ground, hot-neutral, & neutral-ground) of beefier specifications, some RF choke coils to block radio frequency signals induced onto outside transmission lines acting as an antennae loading your inbound 60 Hertz AC with a bunch of hi-freq signals, plus a few other line-conditioning components.

Voltage spikes sufficient to fry electronics (especially digital, like computers) are an incredibly tiny fraction of the power contained in a lightning bolt hitting a power transmission line, coming into your house, and through your equipment on its way to electrical ground. Below is a sales blurb for a surge protector from Tripp Lite you can get for under $25. I'm not familiar with the 3570 joules-to-kilovolt conversion (or the number of kilovolts contained in a lightning blast) to figure if they are actually providing sufficient security for electrical equipment attached to the surge protector. If not, it'd be a quick quarter-mil to collect on their guarantee. <img src="images/graemlins/wink.gif" alt="" /> The TLP810SAT Surge Protector from Tripp Lite is a cost-effective way to protect a satellite TV entertainment center against surge damage. The TLP810SAT has 8 outlets and a 10-ft. cord with a space-saving right-angle plug. The unit provides 3,570 joules of surge energy absorption, enough to handle the strongest surges. ... Built-in RJ11 jacks prevent surges from damaging equipment connected to a phone line. Diagnostic LEDs and an audible alarm alert the user to potential power problems. This surge protector comes with $250,000 Ultimate Lifetime Insurance plus data recovery. No warranty cards required for coverage!

All that said, IMHO using a quality surge protector (which can be had cheap!) and even a UPS on your digital equipment is a good investment.