The Lightning Rod is an invaluable structure to have once you start building a settlement. Lightning cannot strike the player directly but once you have a settlement, it is likely that you'll have flammable buildings or plants in the settlement which CAN be struck. This will not only destroy these items and deprive you of their benefits but it will also pose a danger to you.
This structure can protect roughly two screen lengths from lightning strikes. Once struck, the lightning rod will hold the lightning charge for a few days. During this time, it won't provide heat but it will provide enough light to keep you alive at night.