Yes, Protect!
In short, to be thorough: if speakers are mounted above ground, ground the speaker housing, guide the wire through grounded galvanized metal tubing until under ground, and install a surge protector in the audio path.
What NEC/CEC, IEEE and ARRL say...
Most buildings now have many additional outside connections—exterior lighting, remote gate controls and security monitors, electronic dog fences, auxiliary buildings, etc., which are often not dealt with in the codes. Any of these connections can bring damaging lightning currents into the building.
Finally, and most significant for many people, modern houses have from $5,000 to, in rare cases, $500,000 of electrical/electronic equipment, such as in utility systems, home entertainment systems, computers, security systems, and building automation systems. All of these are extremely vulnerable to lightning surges brought in on power or signal cables, and the basic NEC/CEC requirements do little to protect them.
Ref: How to Protect Your House and Its Contents from Lightning,
IEEE Guide for Surge Protection of Equipment Connected to AC Power and Communication Circuits, Published by Standards Information Network, IEEE Press
And if you don't:
Source: Lightning and the Radio Amateur, Glenn R. Cate N4GRC
http://www.arrl.org/lightning-protection
Grounding around Speakers
In general, speakers mounted under the soffit against the house don't need protection. Speakers in the garden, especially close to trees or mounted near/on high poles should be protected.
Underground wiring does not require protection since it is already wrapped in earth. What's relevant is where the speakers are mounted, and what's nearby.
External electrical systems above 48V (or so, depending on region) require grounding. If your amplifier produces a voltage under that threshold, you don't need grounding. Speaker voltages for home systems like yours are generally under 30V. High-power audio systems have different requirements.
So the amp's voltage on the speaker wire is not the issue. Rather, it's ingress, incl. ESD, that should be taken care of, as you rightfully ask about.
Proper grounding will to some degree protect your equipment from ESD and other ingress of high voltage, incl. accidental shorts to mains voltage, when a speaker housing shorts to a nearby light that is improperly grounded. Spades and lawnmowers are your enemy.
In the event of a lightning strike you'd want a fault/short/path to be created from whatever metal is struck to a grounding wire bonded to house earth. If it doesn't save the electronics, grounding still stands a chance at saving the house. The point is to guide as much energy to ground as possible before it reaches electronics inside.
Amateur Radio operators know this best, and they earth the coax shield of their antenna wires before entry and also bond it to the house ground. Binding prevents voltage differentials between external ground and house ground, that result from nearby strikes that cause a so called "ground lift". Of course, their needs are much tougher due to the use of tall or or high placed antennas, but the principle is the same for other outdoor electronics wired into the house.
To be clear (and thanks to an important point made by user Triplefault), in your audio application you ground the metal housing and tubing, not the audio wires like the "black" wire of your amplifier's speaker output.
For one, you don't want to expose the amplifier to residual ESD or use speaker wire as your discharge conductor, and second, you don't want to possibly create a ground loop that produces hum and other noise.
The details of what happens depend on the specifics of your amplifier, but best to avoid altogether.
Surge Protection in the Audio Path
Additionally a surge protector installed outside, just before the audio wiring enters the house, will protect your interior electronics (and anything flammable around it). This is common practice for telephone / DSL and cable wiring. It will not always protect your amplifier, but it will shunt away dangerous energy as soon as possible.
How loudly do you play your music outside? Whether you can use a telephone/DSL surge protector depends on the required current feeding the speakers. The internal resistance is perhaps 3 or 4 Ohm, so you may produce heat that needs to be dissipated. Alternatively you can use a mains surge protector to connect your speakers through. They are designed for higher currents (read the specs). Note the audio wattage and required current.
Dedicated surge protectors for audio speakers are available for precisely this purpose, for up to 1000W power and impedances from 8 Ohm down to as low as 2 Ohm.
Alternatively you can place your amplifier outside away from flammables, having only a discharge path through the mains into the house ground.
