What is this strange device?
This is most likely some type of homebuilt radio antenna such as used in amateur radio.


The “lightning rod” — which, note, is not actually directly grounded as a lightning rod was, but appears to be insulated from the ground or roof — is one antenna element.
The connections to ground serve as the other antenna element.
The “thick black wire” is coaxial cable for carrying the RF signals between the antenna and the radio receiver or transceiver.
The glass and copper device visible inside the box looks like a vacuum variable capacitor, which can be used as part of a matching network to match the electrical characteristics of the antenna to those of the cable. I can't tell from the photo what else might be in the box (which is presumably there to keep rain off).


It looks like it could have been built a lot less messily, but its maker may have other priorities or not want to spend money on better tools and parts.

Further questions on amateur radio and radio technology in general are welcome over at Amateur Radio Stack Exchange!