[Porsche-O-Phile]

Faraday effect (as has been said). Basically all the electrons distribute themselves on the outside surface of a conducting material, since they're repelled by one another. Kind of like a "bubble"

You could always hide in a trash can or a dumpster too, I suppose as long as it was metal. Oscar the Grouch might've been smelly but almost certainly didn't have any singed fur from lightning strikes.