I have lightning rods, installed when I moved in by A-1 lightning, would not be without, I had a strike when I lived in Minnesota, and it's not going to help if your neighbors have them, if it going to your roof it's not going to jump that far over to the neighbors.
A good explanation from Wikipedia:
A lightning rod (US, AUS) or lightning conductor (UK) is a metal rod or metallic object mounted on top of a building, electrically bonded using a wire or electrical conductor to interface with ground or "earth" through an electrode, engineered to protect the building in the event of lightning strike. If lightning hits the building it will preferentially strike the rod and be conducted to ground through the wire, instead of passing through the building, where it could start a fire or cause electrocution.
Another good article from "How Stuff Works"
HowStuffWorks "Lightning Rod"