I use to be terrified of thunderstorms till I figured out that thunder can't hurt me, and I can get myself away from lightning, if there's a tornado I go somewhere safe. Now I read or find some other activity during a storm to take my mind off of it or talk to someone. I actually enjoy them now as long as there aren't any tornados.
I am not sure if you are religious at all...but you can try praying. If you are not a christian then you can try reading or doing something to keep you mind off of the storm. Listen to your I-pod or CD player or something so you can't hear it.
My house was destroyed by a F5 back in 2000. Every since then I'm scared of thunderstorms. I have found it's helps me to be able to see outside when it's storming, even if it's at night. Sometimes I even go outside on the porch when it storms. Might not be the smartest thing to do but it helps me. I also purchased a weather radio. It helps me cope.