Even when lightning does not directly strike a power line the magnetic pulse is picked up by every cable nearby, from high tension lines to your house wiring, antenna cables and Internet provider's wiring.
We don’t always know when a surge will come down the line so having a good surge protector is essential IMHO, but even then I would absolutely recommend unplugging when you know a big storm is coming through. Sometimes I even turn off my HVAC and range as well, despite having a whole house surge protector.