I am always nervous about lightning strikes.
The excellent Southgate News today told the (true) story of a local CBer who had his vertical and CB rig destroyed by lightning. See http://www.huntspost.co.uk/news/latest-news/
I usually disconnect antennas when there is lightning about but I am still nervous. One of my friends (not a radio ham and with no big antennas in the air) who lived in a normal estate home had his home struck years ago and it took out lots of his household wiring. The chances of a direct hit are rare, but I am always bothered and never quite sure what the best advice is.