My view is that rain washes away the pain with a deeply soothing white noise sound. It's similar to the sun opening up positive emotions again and allowing one to breathe and feel good after a cold, long, cold winter with a cold, empty, cold, white sky. Rain releases pain and sun warms the soul.
For me, I've always thought the reason for thunderstorms being so relaxing and exciting is because it brings back memories through my entire life to very early childhood of being safe and cozy in a warm, sturdy house while the wind and water and thunder and lightning raged on just outside the windows. Psychologically I'm very cat like. I like sleeping in small, dark, low, secluded places (with room to stretch my legs out) and that's the same feeling of safe, cozy seclusion that thunderstorms bring out.
You are right, the cozyness and nostalgia of it does seem to be a big factor in how it makes us feel. I know there are people who say they hate thunderstorms but I never seem to meet them really ;) Everyone I always talk to about them, and experience them with shares the same feeling of welcoming them...
Thanks for sharing your thoughts <3