It may help to preface this by saying I live in South Carolina near the ocean and we have severe storms roll through here yearly. For this and other reasons I'm paranoid about lightning protection.
Yes, I turn off my power conditioners and sometimes even my breakers but only when I know well in advance what will happen. The problem is that about 2/3rds of the power issues this house goes through are not even lightning related. When it is, sometimes I see my lights flash several seconds before I hear the thunder. It's already too late. Sometimes I'm away from home when lightning rolls through.
My point is, yes, I do turn things off (not actually unplugged) but I also rely on state of the art surge protection. I wrote about my thinking at length here and here.