I can't remember the last time we had a thunderstorm here (west coast), but growing up on the east coast, we used to open the front door and sit inside with the lights out and enjoy the storms. I think I'd do what you did, and stay outside until it got close enough to worry. DS thinks every big noise is an airplane anyway, so I don't think he'd be scared.
When I was a kid, I had a friend who'd scream and run inside even when she saw strange cloud formations that might suggest a storm was coming, and her parents made her sit/sleep on the stairs in the middle of the house during storms. They were all in a panic over storms, and I always thought that was a terrible fear to pass on to your kids--and what a complete waste of time, having to sit there doing nothing, sometimes for hours, during storms.
