It's real hard to cope with the power involved in a direct lightning strike - it's just too much power and too sudden. The best bet might be to use something with a good insurance policy that includes coax and phone connections so that in the event of a direct strike the equipment downstream would at least be covered by the surge protector's insurance.

Large buildings cope with the threat of lightning damage by employing lightning protection (either the old Franklin-style or some newer devices from companies like Prevectron that can protect a large area with a single collector). Unless you are in a location that really invites lightning strikes, I doubt such a system would be cost effective for a house.