I would suspect that how common lightning deaths are to horses and other animals varies by where you live and the kind of storms you get. I live up in the mountains and I run for cover myself when the monsoon storms hit. I have had two near-lightning experiences myself- one where we think lightning may have hit our car or a tree above us when we were at a campground and another where I was at a friends house and lighting hit a power pole right outside the house. It's enough to make me really scared and seek shelter when the storms come.
I know of one person who lost a horse to lightning.
But, what really drove the point home for me was last year when we were trail riding, we saw a dead cow and her calf, still very fresh but dead under a tree and the tree had a big lighting split going down the trunk. And nearly every year, after monsoon season, I discover new lightning strike trees out on the forest.
I do worry about my horses. I don't have a barn I can lock them in to, but they do have a metal barn/run-in shed. It would be my hope that if lightning hit and they were in the shed, maybe it would go around them the way you are safe in a car if lightning strikes. But that is just my hope. I don't know if it works that way, and who knows if the horses would be in the shed or not if lightning struck. But I think about it every monsoon season. And I say prayers when the lightning strikes close to the house that my horses are safe.