We all remember C&C2 Tiberian Sun's Ion Storm. One of the most atmospheric and immersive weather effects to this very day.
I remember Far Cry 2 decades ago and was blown away by the wind effects, especially when combine with fire. World of Warcraft had some weather effects but they never showed up enough, I never got to see a heavy blizzard or snowstorm during the 2004-2007 era and I saw heavy rain maybe once.
STALKER and expansions had excellent weather effects.
GTAV, Witcher III did an amazing job with weather effects all around, Cyberpunk 2077 has a great sandstorm and rainstorm, but no thunderstorms--sad, sometimes it's just fog and that's boring.
I was pretty disappointed that Zeta Halo has zero weather effects but does have excellent ambient lighting, even Combat Evolved from 21 years ago had weather effects.
Most games today underestimate weather generation and how important it is for immersion and atmosphere, especially in a first person or third person game.