Options.... There are a few. If you go second, reserve everything. While I wont advocate this tactic, I see it alot. It allows you to avoid being alpha struck in the first round of shooting. Your army had better have been designed with this alternative in mind for this to be effective. Eldar are known to use this tactic well, others.. well, I'll leave that to you to decide.
Next. You just take it in the head. You cannot do this if you cant return fire, or are not able to deal with this kind of punishment. Here you will need to be able to take advantage of any terrain that is there (dont rely on this, and learn to create your own cover). Rhinos, Land Raiders, etc, are all great at providing some sort of cover where you cant seem to find any terrain. Having devastators and other squads with enough wounds are great ways to take an alpha strike. If you are a shooting army, and are about to get alpha struck, you had better be set up to return the favor. To do this, simply make sure you have heavy weapons in your transports. When they get destroyed, your already out of your vehicle and sitting in place to return fire. Your army list is often what helps you in this situation. If your list sucks, you will die alot to alpha strike.
Other things to consider. Placing transports near area terrain for when you need to disembark. Also note the range of your opponent. Its very rare that I see alpha strikers or just shooting armies that go first, able to shoot all their weapons at me. I will deploy to limit what is incoming, as well as making it just as rough as possible at deployment.