+ 1. I agree with Eddie. At a buck a stick (10' section), and with the sections having bell ends (i.e. you can connect pieces without couplers) conduit is cheap and easy. The wire is protected, the chance of fire goes down. And if the outside of the building is struck by lightning, there's a smaller chance that your houses AC power system will be the "ground" for the strike. Smaller still if you ground the building's shell.
I took a piece of the 3/4 conduit and hi-pot tested it. I can only go up to 7500 volts, but it was happy. Romex is good to about 1200 volts, which kinda makes sense- 600 on the inside, 600 for the outside and paper. I didn't test it to a fault, just tested it to 1200. So between the conduit and the romex, you've got 8700 volts of insulation. Probably higher, that's all I tested to and that's enough for me. All the usual disclaimers here- you milage may vary, any statement about lightning is subject to being disproved by mother nature, etc. But mechanical safety, fire safety, and much better voltage insulation are good stuff.
BTW, this is also why I put conduit in any ground run vs. just using the UF (direct burial cable). Put that about 2.5 feet deep and it's quite protected, you can add more stuff later (always use bigger conduit, I'd say at least 1.5"), and the lightning strike has to be really close to where the conduit is buried to have that much kick that far down. The OP was worried about wiring in the building, but the power has to get there somehow. Also consider running some drain pipe or black polyethylene (PE) pipe for low voltage stuff (telephone and alarms).
Pete