Archibald:
Looking at the microcontroller chip package of my Arduino Micro, just 7mm square, logic tells me that these 40 or more protection diodes must be very small to allow space for the lead frame, processor, memory and other interface circuitry. The circuit diagram of the protection diodes shown in the data sheet is only an "equivalent schematic", not necessarily the actual circuit of what is on the silicon. We are not certain the diodes still function fully when the chip is not powered up. However I find it remarkable that such a tiny chip is capable of driving relatively high output currents so I'm probably being far too over-cautious. Nevertheless, a resistor is much cheaper than a replacement Arduino!
I agree regarding the resistor, as I said in my last post. I don't connect anything to my inputs without a 10K to 22K series resistor, either with my Arduino or with PIC chips. Besides things like the filter cap, a decent-value resistor provides good protection from ESD as well. Better to be safe than sorry, and as you say, resistors are cheap.
The diodes will be very small, (that's why I said they may only be able to safely handle 1mA), but you'd find that they are still normal silicon diodes, and would remain diodes even when the chip loses power. Otherwise, as mentioned, the filtering capacitor on a PWM output, or filter capacitors on inputs as we're discussing, would regularly do damage when power to the chip is cut and we'd (most likely) hear about it here on the forums.
And the actual silicon area on even a 1N4148 is extremely small, too, but they handle up to 200mA without problems. They're mainly glass. The diodes in a microcontroller chip are big enough to 'protect' the chip. After all, that's why they're there. And they have the whole chip body to dissipate any heat that may be generated, especially with a series resistor correctly placed.
These little chips are very robust, and seem to withstand all sorts of torture without damage. I'm sure you've read what some people do to them. (Poor chips) 
Edit: I'm really surprised that there are no specs in the datasheets relating to the protection diodes. And PIC datasheets are also lacking in this regard. At the very least, they could provide a recommendation for a minimum safe series resistance.