(NB: I would have added this as a comment to @fgysin's answer, but I don't have enough rep. to comment yet.)
@fgysin's answer (and the associated comments) is very thorough, and covers most points.
However, there's one other thing worth considering (unless you're alone). If you haven't been able to get to a safe location, and are sitting out the storm as advised (crouching or sitting on the ground, keeping a small contact area and minimizing you height), you should -- if the terrain allows it -- maintain some separation between members of your party.
This is because, if the worst happens, and there's a ground strike close enough to incapacitate someone in the group, you really want there to be somebody else available to start administering first aid if required. If you're all sat huddled together (not unreasonable if it's cold, wet and windy), the current could affect everybody simultaneously, resulting in multiple injuries, and making the situation that much more serious.
How far apart you should sit (again, assuming the terrain allows it), isn't so clear. A quick Google shows respected authorities recommending a minimum separation of 20 feet, 50 feet, and 100 feet.
I was in this very situation (caught out during a storm in the high mountains, with no safe place to retreat to) in the Drakensberg mountains of South Africa some years ago. Fortunately, there were no ground strikes close enough to cause any injuries, but the group of 15 or so did spend a good 20 minutes knelt on the ground, spaced well apart, as the storm passed overhead.