I believe that it doesn’t matter if it is plugged in or not.
Powered down equipment is less likely to get fried due to lack of any transmission of the surge. Damage would be restricted.
>> I believe that it doesn’t matter if it is plugged in or not <<
Depends on the equipment in question — solid-state stuff will be most vulnerable. For example, antique cars, vacuum-tube radios and your 30-year-old refrigerator should be fine as long as unplugged.
But when it comes to your new car, desktop computer and flatscreen TV, you’ll probably want to stash them in a big Faraday box.
On the other hand, your cell phone, digital camera and small AM-FM radio should do OK if wrapped in a layer or two of aluminum foil, then attached by a ground wire to the nearest water pipe — assuming of course that you don’t have vinyl plumbing!