There is the raising earth problem, especially if you have an old school staked earth like many properties in the US. I am not really sure what there is to cover -- it hits one of the three wires that go around your house and raises the potential of one of those to a few thousand volts and most electronics is not built to handle it and most insulation might handle a lot but your electronics might provide the easier path.
Unplugging things is then not so much paranoia as prudence for many people. Especially those that might live in tall houses on top of hills/high points and don't have lightning negation (others mentioned it is a thing on newer builds, and I do live on the newer builds in this estate, which is to say this is Edwardian rather than Victorian). If a mad dash around the house saves me having to replace items, or claim on contents insurance I tend not to have, then if you are there and a lightning storm is happening or coming in then it is a free thing you can do to save you hassle.