turning my system on during lightning storms

Grounding antena won't protect from direct hit (even ground rod is problematic). The real purpose for grounding antena is to prevent static electricity build-up caused by the wind that can charge your antena to several kV making it electrically the "tallest" structure in the area. Size of the grounding wire does not matter.

Always unplug to prevent ground differentials.

You must live in the midwest. The other night a particularly lively storm came up fast. I jumped out of my chair to pull the plugs. Definitely the safest bet.

I wouldn't chance it. As soon as I hear thunder I run to the system and unplug all of the components from the wall. Unless your system is a GPX boombox, I'd unplug.

Lightning never strucks GPX - it always chooses the most expensive system in the area!

It is true that the grounding rod only prevents the static discharge issue. Also, it probably protects you from your insurance company if they claim that your negligence of putting up an antenna caused lightning to strike your house. A direct hit will take everything out. A neighbor had his house burn down when the lightning strike fused the circuit breaker box and the wiring fried through the walls and the house was fully involved. lesson? unplug everything, and insure it!