Why don't we feel shock when there is lightning? When there is lightning in the sky and I am are standing on the ground having no insulating material between me and the ground, why do I not feel an electric shock? If this looks stupid to you I am sorry. But can you please help me understand that?
 A: The electric current from the sky to the ground will be dissipated over a very large area very quickly, and it does not result in either a change in the electric field in your vicinity, or in a current flowing through your body (which would be the result of an electric field change...)
The only time you will feel an electric shock is if (part of) the current from the lightning flows through you: for example, if the lightning hits your head and passes through your body on its way to the ground.

It is conceivable that there would be a tiny potential difference across the feet of the person standing on the ground - but the fraction of current flowing across the surface at a distance of more than a few meters will be extremely small.
If you consider the earth to be an isotropic conductor (of course the presence of ground water makes that an extremely poor assumption) then you can calculate the current per unit area as a function of distance from the strike point from conservation of charge. At a distance $r$, the total area of a hemisphere is $2\pi r^2$, so the current flowing near the surface will decrease with the inverse square of the distance. The median peak current in lightning is about 30 kA (see figure 6 in this paper). At a distance of 50 meters, this current is spread over about 15000 m$^2$, so you would have 2 A per square meter. Assuming your feet are 30 cm long, and connect to the top 1 cm of the soil, then you are potentially a conductor for 0.003 x 2 A = 15 mA. But of course, only a fraction of that current would actually flow through your body, as the current would distribute in accordance with the resistance of the soil and your body...
According to this site, the threshold of perception of current in men is 5 mA. 
This suggests that you would have to stand awfully close to a big lightning strike, with bare feet buried in the sand, to have even a small chance of feeling a shock. And if you are that close, I think that there are other effects (like deafening sound) that are likely to distract you from feeling a tingle...
Incidentally, the link suggested by Maxim Umansky does describe the above, calling it "ground strike injury":

Ground strike near the person causing a difference of potential in the ground itself (due to resistance to current in the Earth), amounting to several thousand volts per foot, depending upon the composition of the earth that makes up the ground at that location (sand being a fair insulator and wet, salty and spongy earth being more conductive).

