Benjamin Franklin proved that static electricity was the basis of lightning. Lightning is caused by static electricity, and therefore there is a high presence of static electricity in the atmosphere when there is an electrical storm. This is usually what damages computer equipment.
EMI is electromagnetic radiation. This is things like radio waves, and they are given out during lightning strikes but do not cause damage, only interference to radio services.
Appliences may well explode if lightning strikes nearby, as this happened to my parents once. The fridge, TV, and the electric fire literally exploded causing rather a lot of damage. A surge protector isn't designed to cope with these voltages.
A residual current circuit breaker (RCCB) is designed to cut when there is an inbalance in the current in the live and neutral wires, and this takes a few milliseconds, the time taken for lightning to travel across the connections.
I also notice that a lot of surge protectors say they will protect from lightning, but I'm not sure how well this works, and it still won't protect from static in a storm.