Disregard the other answers here, as they have not provided real world test verification.
Reality: Whole house surge protection does not protect against lightning damage, nor does copper grounded lightning rods (direct strike). It is also a myth that the nearest tall object will attract lightning. Whole house, local outlet surge protectors and UPS units protect against transient spikes, area lightning grounds and damage from the power grid. All the same, I tell people they have surge protectors already in the form of the most sensitive electronics like microwave oven, air conditioner, TV, stereo, electronic phones, etc. Those devices will "fry" first and absorb the spike.
One of my houses took a direct strike (lightning rods installed). The bolt managed to find a path through 70 ft. maple and oak trees covering the house (city), strike the wall on the 2nd floor, travel through the electric conduit to ground. The damage was limited to that direct path which burned a path through the wall. When I lived in an apartment building, the lightning struck across the street on a roof, then down the wet building, across the wet grass into my building, arced through the glass patio doors and back to ground. Damage tripped the building breakers and the power co. sub-station. In another house (rural), lightning struck the open ground about 300 feet from the house. The control panels for security system fried and all the GFCIs and breakers tripped. I protect my computers and every other electronic device with surge protectors and UPS to condition the power and prevent harmful (frequent) spikes, brown outs and power failures. Unplugging is the only way to reduce the threat although lightning arcs can still burn out TVs and computers with no connection.
Over 40 years of electronics, power surges from the grid have destroyed two stereo systems, two microwave ovens, one portable A/C, two TV sets, a dozen modems, a router and a PC. Whole house surge protectors and UPS devices can prevent this damage but not from lightning. The only protection from lightning that works is: backing-up data and paying for damage insurance.