I commute through some wide open areas, and find being out on the bike when the storm is moving in to be a totally awesome experience. Something persons enclosed in cars will not experience in nearly the same fashion. Watching the massive cloud front moving in, feeling the winds kick up and the temp/pressure drop, and yes, even smell it like Colorado Kid mentioned. Nothing between you and the weather. It is such an alive feeling!
I sometimes stop for a moment just to look around and take it all in... then jump on board and pedal like hell!
Close lightning strikes are quite exciting too, but not nearly as much fun! Been there, don't like to do that.