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This is the exact reason why I hate them. I grew up in Oklahoma, and I was always scared when a thunderstorm came around and I could never sleep because I'd be afraid that I'd be sleeping and a tornado would develop without me knowing. I still can't sleep during them, even though we rarely get them out here.
I remember one time when I was riding with my dad and brother, coming back from a road trip to visit family in Arkansas; we got home late that night, and apparently it'd been storming bad while we were gone and we drove by a house in his neighborhood that had been struck by lightning and caught fire. So that inspired yet another fear of sleeping for me.