Yes, I shut down everything. Even though I have all of the critical components on battery backup (UPS).
I'm in North Texas, and I can tell you we get some pretty exciting storms here.
Max is right, no surge protector/UPS/regulator thing can protect your gear against a direct hit from lightning (including if it hits the transformer you get service from). The plasma that is the bolt, maybe two to four inches in diameter, is as hot as the interior of the Sun. That is a lot of electrical energy. No circuit breaker can have time to trip, before everything in the electrical path is fried, speed of light being what it is and all...
What's always amazed me is that humans get hit by lightning every day, and survive.

stike