I know the traditional advice is to switch off the modem and pull the plug when a thunderstorm is imminent. Not always possible though if you are away from home.
Some time ago I came across this surge protector designed for ADSL lines.
http://www.clarity.it/xcart/product.php?productid=16152&cat=0&page=1
I have used one for some time. It doesn't appear to cause any signal loss, but whether it protects the line from a lightning strike might be arguable. It certainly doesn't appear to cause any harm, and at around £12 + postage might be worth a punt for some of you.
I removed my adsl line that went through a lightning surge protector that was part of my UPS because basically it increased noise on my line and it was not a cheap UPS either, if you have a hit anyway near you and it hits the phone system its going to fry your router anyway, I have a gas tube protector after my router in between my pc to protect the pc itself, the phone line goes though a surge protector/lightning strike protector but I use none as I said on the adsl line from the filtered face plate because of noise that can occur with these type of gadgets, I am under no illusion, a strike will fry things pure and simple if you are at home and know there is a storm on the way of here it unplug, before you go out if your not using it unplug, that's what I do.
It might be worth mentioning this site:
http://www.ukspeedtraps.co.uk/weather/light0900.htm
Which allows you to track storms in real time. That, coupled with watching the routerstats display, allows me to get offline in good time.