If there's an electrical storm I generally switch my PC off and unplug it - even with Surge Protection and UPS you can't be too careful - no good crying after your computer's been blown to bits - even if you manage to get your insurance company to cough up they won't replace any lost files
... but I usually leave the modem and router on to save any hassle on powering back up - reconguring IP addresses etc that sometmes go astray if you pull the plug(s).
My set up has a seperate Broadband modem supplied by NTL ( who will replace it under my monthly contract with them if it goes bang ), and my Router is then plugged into the modem.
The NTL engineer tells me that there's a little square metal connection box in the wall plate which provides protection against lightning strikes, power surges etc. at the same time as controlling the signal level coming down the line to the modem. Hopefully this would also provide protection further down the line past the modem to my router - the law of the sod says I'll probably find out soon so I'm off to check the Met !
Hope this helps.