Properly set up ightning rods across the peaks of your buildings dissipate charges in the air and prevents lightning from striking in the vacinity of the lightning rods. Its not a sure thing, but I would say its 99% effective in residential settings. Having properly grounded lightning rods in place will greatly reduce the risk of a direct strike.
Stikes near your power lines and within a quarter mile of your house can still induce a high voltage on your home wiring and destroy electronics. For those weak transients, metal oxide varistors right after the devices fuse and before the rest of the circuitry will protect that circuitry, however, that varistor and fuse will need to be replaced afterwards. The varistor only conducts after a specific voltage is reached, and when it does, the self heating drives it harder into conduction and blows the fuse disconnecting everything. Its the solid-state version of a spark gap, except it will be destroyed by doing it's job. Lightning arrestors for feedlines may keep the fire out of your house, but it will not save your gear as the voltage needed to jump that gap is enough to kill your electronics anyhow.
If you want EMP protection, take batteries out and ensure no wires are hanging out of the device. After that, you don't need a faraday cage. Electronic devices are ruined by EMP due to the circuits wiring acting as an antenna and the induced current that turns on the fets in the circuit. When the batteries are in and an EMP happens, there is a chance the wrong fets turn on at the same time others are turned on (like in a class B push pull amplifier or CMOS switch) making a direct short to ground burning up those components. Without long wires acting as antennas, the induced voltages will not be enough to punch through oxide layers (destroying mosfets) and since the battery is removed, the induced voltages that can turn the devices on, will not be getting hot. Just take the batteries out and disconnect any wires hanging out of it. No need for garbage cans and fancy faraday cages;.