If the storm is really bad, & i mean lightening & thunder flashes every two seconds, pouring rain, howling winds-- then i advise taking ur horse inside any place u have-- stall, poll barns, anywhere with good shelter. If ur horse is jumpy during storms, in side of small places ( such as a stall ) then let him loose in ur indoor arena if u have one =) Normally they should be fine with some snacks, a flake of hay & maybe a little extra grain!
If it is a low grade thunderstorm, a few booms & flashes here & there it is perfectly fine to leave them out, most of the time they go inside of their lean-to if they have one, or stand in a low lying spot in the ground. they r very smart! If u have a rain sheet or blanket & it is chilly out, then put it on them to keep them warmer & dryer.
However, if u have a pasture with a lot of trees in it, the horses could have increased chances of getting struck or secondary struck by lightening, u should take them inside in this case. It is pretty much up to ur judgement on whether or not the storm is bad enough, but if the conditions could possible create a tornado, flooding, etc. take them in the barn & STAY with them.. if there is a tornado they should not be stalled, they need to be ready to be set free for a better chance of survival.