I just say "Ohhhhh listen, its thunder, lets go upstairs and watch it"
and we all try and see where teh lightening strikes.
My sister has HUGE phobia of thunder and lightening. Has been known to drive to my brothers house in floods of tears in a storm because shes too scared to drive home.
I think shes mad.
IIRC being in a car is the safest place possible. I seem to remember a programme when I was young proving that.
Something to do with the tyres...