To cause damage while turned off, the power would have to spike high enough to arc across the open switch contacts.
It's not impossible, but I suspect that you'd see damage in devices that were powered up on the same circuit long before that would happen.
Mere static electricity can easily reach a high enough voltage to arc 1 cm, so I'm sure a lightening strike covering a much higher distance has the ability to jump the power switch (plus I lost a high end Sony amplifier this way that was turned off during a strike in the yard).
