Great question, and I think you may never find a perfect answer to it, but here's what I know.
A Faraday cage is a slightly different concept than electromagnetic protection. Faraday cages work for the electrical charge in a conductor moving to the outside of the conductor. It gets complicated as the shape of the conductor gets holes and becomes less spherical, and the electrical field would probably need to be modeled by computer in that case, but in general, almost any shape of conductor will tend to guide the current around you and not through you if you are in the center. Holes in a faraday cage could still let through EM waves, but that's not the danger in a lightning strike. You're worried about current traveling through your heart and brain, not EM waves interfering with your radio for a milisecond. Approved lightning shelters for parks have metal on the roof, metal conductors to the ground, and a buried loop of metal under the ground. That's enough of a faraday cage to protect you if you don't get too close to the edge. They say a car is also a good enough faraday cage if you don't touch anything conducting. A sphere of metal would be a perfect faraday cage and in that case you could actually touch the inside wall and not have any effect, but as you put holes in it, you just need to keep from touching or getting near the holes because some electric field will bend inwards around the holes. EM waves will come through regardless.
OK, now on to lightning protection for houses. You may be surprised to see that there are a lot of ideas out there and not a lot of scientific research or consensus. First, it's hard to do research on lightning because it doesn't go where you want it to go. But some people think that lightning rods just attract lightning to your house more without protecting it a lot. Some say that lighning is random enough that it won't hit your lightning rod any more preferentially than any other part of your house. I think it probably has to do a lot with the design--any bends in your conductor add impedance, and lightning acts like a high frequency current because it is such a short pulse, so it can actually jump across sharp corners in a conductor--passing through you or your house instead. In any case, it acts fairly unpredictably even through thick copper conductor, so take what any lightning protection system says with a grain of salt.
What I have read that made sense is that metal roofs tend to hold up well to lightning. They act as a faraday cage for your house and they disperse the charge over a larger area as compared to a skimpy little wire coming down your chimney or something. They also intercept 100% of the lighnting that comes towards your house, unlike a lightning rod which only intercepts the lightning that happens to hit your rod. If you put on a metal roof and ground it well (put a grounding loop around the base of the house for example like a lightning shelter and have lots of vertical connections from the loop to your roof), I think that would be the best protection. The grounding isn't required to make it a faraday cage, but it is required to give it an easiest path diverted around you--once it hits your grounded connetion, it goes straight for the ground. if your cage isn't grounded but your plumbing is, it could slip past your protection, which isn't a perfect faraday cage, and into your plumbing. Don't worry about windows and stuff--it's unlikely that lightning would bend past and around your roof and into your window when it has a much easier time finding its way to your roof. The biggest danger with windows is debris from an exploding tree hit by lighnting, or even more likely, trees or debris knocked down by wind--a faraday cage isn't going to save you from that!
Yeah, you could build a cage around your bed or your bedroom and it would be safer. But, why not spend that money on a metal roof instead and add some value to your house?