I stop in a store and wait out the nearby lightning if I'm more than a couple of miles from home and the the landscape of the road leaves me out in the open.

Otherwise, I just pedal like heck.

I installed an antenna on my house and grounded the pole to the main house ground in order to reduce the probability of damage to my home theater if a lightning strike hit nearby. However, a direct hit would still probably fry everything. A lightning strike near my mom's house traveled from the base of a tree to buried invisible fence wire, up to the house, over to the phone line, and destroyed the modem in her PC.