A faraday cage, a metal container which will shield the contents, will give a good degree of protection. My second set of backups (and other stuff) are in a steel freight container in a secure yard in a valley several miles away so should cope with most things. Putting your backups in a metal tin or even wrapping your CDs in aluminium foil will give significant protection and I would imagine a pulse strong enough to get past such measures is going to be accompanied by other sorts of bother !.