All antennas probably should be grounded.
A Boy Scout here in Utah was killed last year when lightning hit him while in bed in a wooden cabin. The experts explained that, in most homes, the electrical wiring, and other metal "stuff", in the attic usually acts as a cage over the rest of the house, catching any lightning that might want to land on your particular patch of the earth. The Scout Cabin had no wiring, plumbing, or air conditioning to distract the lightning from coming all the way inside.
Most of your electrical wiring terminates at your breaker panel, where things are well grounded. Without a ground on the antenna, any surges will have to go through your TV and sound system, to get to that same ground.
If the wiring goes outdoors (down an outer wall) anyway, a ground block (with a proper ground wire back to the electric meter or breaker box) would be easy to install. You might want to check with the local building inspector's office, or an electrician, for the full-skivvy on local codes.