I actually read something about that recently. The theory is that people like big weather events due to our evolution as humans. Risk was always around in the early days of our development and humans were sometimes rewarded for taking risks. So even though our risks are minimal today, unless we purposefully create them, we have an instinct to be in "risky" situations although we're physically safe.
I love big weather too. The more chaotic the better.

When I hear thunder it's like the voice of God speaking