Here in Atlanta riggers put swamp boxes on all of our big distro boxes (600a and up) ALWAYS. Well cover up lunch boxes with rubber matting, plastic, cellomesh, or anything really and try and get it up off the ground if its raining by resting it on a spare piece of 60A cable or something.
6k, 12k, and 18k HMI's and tungsten bigger than 2k get rain hats when it rains, mostly to protect the lens from breaking. In the summer time you have to be really attentive with it because leaving them on in light rain will cause the head to overheat (it gets really hot down here, even when raining).
When the light has to be pointed upwards in the rain a rain hat wont do, well get the grips to give us a 4x4 frame of heat shield to protect the lens.
4k and down, all ballasts, and putt-putts get cellomesh (aka stinky wrap). Stinky wont melt when these things get hot like rubber matting will.
Shockblocks (GFCI's) are occasionally used, but not required with most rain really. Unless you're working near large bodies of water or have lights submerged in water.