I love thunderstorms, the closer the better. Once I saw lightning strike no more than ten metres away from me; absolutely exhilirating. Driving home in that was a bit scary, as all the roads were flooded, but damn if it wasn't exciting.
Love heavy rain, too. If it's absolutely pelting it down, I'll strip down to just a t-shirt/bra and shorts, and run around in it. The soaking underwear afterwards is less fun, but its still worth it.