There is a point on the edge of the strike where there is very little damage done. A surge protector could remove that.
I've never unplugged anything when a storm approaches, as the chances of it affecting me and not the other several thousand nearby houses is very remote In fact during the last storm, I continued digging my pond (using a metal spade aswell). Perhaps if I was the only house on top of a hill I'd unplug things, but then I'd get myself some bloody big lightning rods anyway.