Is there anything, any type of material, that can shield electronics from an EMP blast?Yup. It's called a "Faraday Cage". Basically, you have to completely surround it with a conductor and ground the conductor. There are some subtleties, but if you get a metal container which you can close tightly (no gaps), and solidly attach a heavy wire from the container to a good ground (water pipe? copper grounding rod?), that should work just fine.
The only problem is that anything you want to protect must be in the container when the bomb goes off. The assumption is that we'll have no warning, so plan on buying spares of everything you need to protect and putting them away until after you are sure that the danger has passed.
I got this thread bookmarked on my computer and I’m definitely gonna look into all this. Not that I want to compete for the “tin foil hat” award, but undertaking precautions to prevent a disaster is always prudent.