A lot depends on where you live. In a built up area, close to the phone exchange with mostly underground lines then the risk is relatively low. In a more rural area with longer and overhead lines, way more risky
Most of the damage is caused by voltage spikes generated on the phone line coming in via your modem/router. With long cable runs there is a greater chance of a dangerous spike being generated.
Important thing if you want to save you PC from lightning, UNPLUG the phone or cable connection. Thats the most common counduit for the spike. Just turning off wont help at all. Disconnecting the power from the wall is wise too, just turning the PC off wont help, the power supply is still live and providing standby power the the system board. So if you get a serious voltage spike they will get fried.
A surge protector can be usefull, it will absorb a small voltage spike that could have damaged your PC, but if your phone or power line takes a direct hit, things are gonna FRY.
My day job is as a computer Techie, so I have seen enough fried computers after thunderstorms. A direct hit will mean house wiring having to be replaced, no way a surge protector would have helped. I've seen a few scorched and melted protecters, some even welded into the phone sockets that they died trying to protect. I've even seen stuff blown apart when it was switched OFF at the wall, the surge jumped the gap in the switch.
But a surge protector can help in those "it just stopped working after the storm" problems
And yes I pull the plug on my gear if a good storm gets close enough. When I lived way out in the country I would unplug when I wasn't using it. We used to loose microwaves and washing machines to thunderstorms out there.
Cheers
Ian