Depends on where you are. If you are in a good spot to shelter in below a peak, and out of the main likelyhood of lightning, and if its likely to be a relatively short storm, I'd shelter down. Its really a game of judging the risk of a land-slip, loss of footing, loss of navigation, and likelihood of reaching your destination.
For every guy who pushed through and made it out, there is certainly a case where pushing on was injurious or fatal, so there are no hard and fast rules. Personally, and where I am located, I'd rather find a good spot to shelter in early, rather than push in and find I had to shelter somewhere less optimal. However ultimately, you may not ever know if you made the best choice, so it really all comes down to your skill level, and experience.