Quoted from TaylorVA:
All my pins are on wall switches. Would I still need to unplug them?
Yes, it is best to unplug. Lightning is such a high voltage that it can jump/spread on ground wires while looking for a place to dissipate, and your whole house electrical system and probably your copper water pipes are tied together to the main breaker panel.
I used to do some electrical building design and also worked as an EE for a power company and have heard some crazy stories about damage caused to phone and electrical systems from lightning strikes.
I have not kept up to date on surge suppressing systems in the last 10 years, but most are not worth much against a lightning hit that is nearby. The heavy duty commercial systems also cost several hundreds or thousands of dollars and even then they are likely not going to stop a direct lightning strike .
Here are some examples of heavy duty surge suppressors: