Do I need to ground black gas pipe?
According to National Electrical Code, the pipe has to be bonded. However, it can be bonded using the grounding conductor serving the equipment that uses the gas.

...The equipment grounding conductor for the circuit that is likely to energize the piping shall be permitted to serve as the bonding means...

As for lightning strikes, the gas company is probably correct. It's not likely lightning will strike the pipe, especially since it's right next to a house.

National Electrical Code 2014
Chapter 2 Wiring and Protection
Article 250 Grounding and Bonding
250.104 Bonding of Piping Systems and Exposed Structural Steel.
(B) Other Metal Piping. If installed in, or attached to, a building or structure, a metal piping system(s), including gas piping, that is likely to become energized shall be bonded to the service equipment enclosure; the grounded conductor at the service; the grounding electrode conductor, if of sufficient size; or to one or more grounding electrodes used. The bonding conductor(s) or jumper(s) shall be sized in accordance with 250.122, using the rating of the circuit that is likely to energize the piping system(s). The equipment grounding conductor for the circuit that is likely to energize the piping shall be permitted to serve as the bonding means. The points of attachment of the bonding jumper(s) shall be accessible.