I've been caught in a hailstorm early this year on a 200k brevet. I wouldn't go out on purpose to ride in it. I also stay off the bike when the weather report calls for sustained winds over 25mph or gusts over 45mph.

Everything else we routinely get here I'm OK with. Rain, some snow, sleet, etc. Seattle doesn't see much in the way of lightning or tornados or blizzards, so I don't worry about those.