Full blown protection for 'everything' is a subject that is beyond 'the scope' of this Forum really and has thousands of documents on the subject.
Boriz has shown a Faraday cage which, in addition to shielding, causes weight-gain and a reduction in dress sense
Anyway...
You have already seen suggestions for vehicular supplies. They would show transient, overvoltage and HF protection. Putting your gubbins in a metal box (usually) connected to ground can improve RFI and EMI.
The protection required for external digital sensors will depend on the environment and the distance.
Ignoring close lightning, which be honest could demolish everything, you should consider what may affect your signals.
A simple TVS may protect from overvoltage, but where there is continuous 'noise' induced into the cable then you need something to improve the signal to noise ratio (S:N).
Coaxial cable, twisted-pair or an external metal conduit connected to circuit ground can help.
Maybe electronic buffering/filtering is required.
And, as you have suggested, opto links in the worst cases.
It really depends on the application and your ability to determine the requirements.
For your average domestic settings with a short length of cable it shouldn't be a problem. But if you are running your signal cable near a mains cable then you may need a rethink.
Horses for courses and as long as you aren't doing anything really drastic then you needn't panic - just try it.
And if the noise effects are rare then software parity or resending can usually get over the problem.
But if you think the external influences may be damaging then a TVS or cable shielding may do the job. If this was in conjunction with long cable lengths then I would consider buffering - whic would also protect the PICAXE inputs. But note that a simple TVS does not guarantee that your Data will be uncorrupted.
Lastly, unless your info comes from a Big Boy source then DON'T believe everything you read on Niternet. Just because n.e.one has posted it doesn't necessarily mean it is accurate. Even a 12 year old cut'n'paste expert can post - so be aware.