We sat by the open window, enjoying the cool breeze from the storm, and I taught him a little about my spiritual tradition--a bit about how Zeus is in the sky and creates lightning and thunder, and how Poseidon is the rain and the river outside of our house. It was really cute hearing him rephrase everything I was teaching him.
Lightning would flash and moments later, thunder would rumble, and he'd gasp, excitedly saying, "That's Theus!"
One night, when the storms were scaring Wolfman, my husband told the boys that it was nothing to worry about, just the Gods playing hockey. Since Wolf's been to a hockey game, it really resonated with him, and helped him not be afraid. We taught them about a few deities who're associated with the sky and storms, and basically said that it was a friendly game between Team Zeus and Team Thor. The lightning was one of the teams scoring.
Interesting and fun instead of scary.