Refer to the following link for essential information on lightening.
http://www.lightningsafety.noaa.gov/
Lightning is produced by thunderstorms, but it can also accompany volcanic eruptions, intense forest fires, above-ground nuclear detonations, heavy snowstorms, and hurricanes. It is the release of potential energy to the ground (or sea).
Remember the equation E = IR for electrical circuits. 'E' is voltage (potential energy), 'I' is current (flow), and 'R' is resistance. Currents (kinetic energy) can be converted into useful work. Without resistance, there is no electrical current. This is why lightning rods work. They conduct up to 100 million electon volts to the ground without melting. This is remarkable in view of the fact that the temperature of lighting bolts can reach 50,000°F.
Voltage per se is not harmful. (You've probably demonstrations, where a kid stands on a platform which is charged with a few thousand volts. His/her hair stands out, but but s\he survives the experience unscathed.)
You can draw analogies between electricy and a dammed river. The dam provides resistance. The height of the dam is analogous to voltage. The flow of water, like electrical current, does all the work. Importantly, it follows the path of least resistance. Without resistance (the dam), the amount of potential energy in the system is low.
When lightning hits a relatively tall non-conducting object -- a tree, an un-rodded building, a human being -- the resistance in those objects creates current. It's the current (E/R) that does the damage.
To capture lightning energy, one must find a way to create resistance with a device that can withstand 50,000°F, but not enough resistance to direct the stike elsewhere.
And as previous posters have stated: Lightening is fast! Capacitors, impedence loops, etc., don't respond quickly enough to capture it. Instead, they just get fried.