Where I live (Fla panhandle) lightning is a very real problem. I did quite a bit of research on it also. Here are some links you may find useful:
http://www.arraysolutions.com/Products/thorshammer.htm#top of page
http://www.arraysolutions.com/Products/ice/10.html
You might want to check out their model 306N here:
http://www.arraysolutions.com/Products/ice/impulse1.html#1
And no I do not work for the company, I just thought they had a good product and bought one.
As far as attenuation goes, I don't think that the magnetic coupling they use attenuates the signal much if at all. Of course the connectors will loose a little signal, but this will be the case for all arrestors.
As for the cost, well consider the investment you have already in radio(s), antenna, mast, cable, etc. A little more for some peace of mind is worth it I think.
Also, don't forget plain old common sense. Never attach an outside antenna to your radio in a thunderstorm. Keep all outside antennas disconnected when not in use. (I like to put the end in a glass jar or ceramic mug. Kraft jelly jars work good for me.)
If I sound a little paranoid here it is because my house was hit by lightning a few years ago. Blew 5 bricks out of the NW exterior corner of the house and I lost my computer's sound card and a casette recorder I had connected to it. Happened about 8AM, so nothing was turned on, I was at work. But my wife said it shook the house!
Good Luck, Sam