I always feel like this question is part myth and part reality - growing up in rural NH, we were always told not to do anything with running water, to stay away from open windows, don't talk on the telephone, and unplug your fridge during a thunderstorm (gods know where this came from).
In a rural setting like we were in, where power lines run above ground and you're surrounded by trees that could get hit by lightening or blow over during a bad storm, this all seemed to make sense (except for unplugging the fridge). While our house was never hit by lightening, the power transformer across the street got hit when I was in gradeschool. I was watching the storm out the window of our house (plate glass), and I remember seeing everything go white and hearing a *huge* explosion followed an instant later by a second *huge* explosion - I was so startled I fell off the chair I was sitting in. The power was out, two of our telephones were fried (phone lines ran above ground, too) to the point of smelling like cordite or something, and the telephone pole across the street was in flames with the transformer box completely blown apart and giving off visible electrical arcs. In retrospect, it was kind of cool, but I'd always wondered what would have happened if I was talking on the phone when the transformer was hit.
But, in an urban setting like NYC, none of this made any sense - the electrical grid was mostly underground and completely distributed. All major communications lines were underground too. I took showers and talked on the phone all the time during thunderstorms big and small in NYC, and I couldn't even hear the usual static "pop" lightening creates on phone lines. More likely (and this happened to our block twice), was coming home and finding smoke pouring out of the manholes on the street with ConEd and NYFD running around trying to put out some sort of overheating or other type of electrical fire underground caused by poor insulation, old cables, heat, or construction mishap.
Though I did see some really fantastic "once-in-a-lifetime" ball lightening growing up in NH, too. But a topic for a different thread...