Here's Nick Cave doing a song from a whole record I'd play during any thunderstorm(my Go-To Thunder Storm Record, if you will) 'And No More Shall We Part.'
One of my fav songs, 'Love Letter.' The trick is to wait for the violin to come in. It's the somber piano with "slithering" violin that makes it so great for that sort of weather.
Short live version (one violin)
Actual video (string section) w/ great cinematography (minimalist w/ time lapses)