I absolutely unplug all my gear if there is ANY chance of lightning getting near me!
I don't have any surge protection gear in-line with my audio equipment and I wouldn't rely on it if I did, so I just unplug everything.
I do have my TV, computers, etc. plugged into surge protecting boxes and I don't bother unplugging them. Cheap stuff compared to my audio gear.
I live in N. Florida and we get pounded regularly during the summer months, but can have thunderstorms any time of the year.
(The coax from the antenna feeding my ham radio gear gets unplugged and thrown out the window in severe storms!)