Good question. We had a bad thunderstorm round my way yesterday.
Lightning regularly knackers anologue modems, they don't always need to switched on either which I find odd but over the years I've found it to be true. I suppose they could kill ADSL modems just as easily.
You can buy surge protected power adapters which have phone sockets built in to protect modems. One of those would do the trick but they do tend to be the more expensive models.