I live in Tampa, considered the lightning capital of the world, and our local power company offers the "Zap Cap," which is their version of the Meter Treater (
http://www.metertreater.com/), a whole-house surge protector. That,
combined with local indoor surge protectors, offers
some degree of lightning protection, insofar that it includes $500,000 loss coverage (but max $5000 per damaged device). You can check with your local power company and see if they offer it. Unfortunately, lightning can still travel via your TV/cable/phone lines, or wired ethernet, or via a direct "hit" as mentioned above.
In my case, the Zap Cap has definitely "saved" me a couple times, including a next-door lightning strike (that surged through neighbors homes), and a major household surge when the power transformer in front of my house blew up!
If possible, you can also unplug all critical components when not using them, but if they have ethernet or coax antenna connections, they are still "at risk." Obviously, your household insurance coverage is the "last resort."