I actually enjoy weather physics in any game no matter how good or bad they are.
I enjoyed them in San Andreas (although it looked horrible). Whenever it started raining; I starting feeling cold in real life!
Also in Oblivion I think it's really well done as it has snow, rain, storms, etc; all done well (except rain falls through outdoor roofs.) :S Something I really enjoyed watching was raindrops on the ocean..
And there's Fable 3 as well. It has really fluid visuals that make anything look good.
San Andreas - Loved the actual physics of the weather, the waves on the ocean kicked up, the trees starting flailing around, flying a plane was rough, the turbulence actually existed. It acted like a real storm, despite not being perfect to look at.
Oblivion- I posted the rain falling through roofs issue earlier today as a suggestion for Skyrim to avoid, it was hard to find yourself immersed in the storm if you can't get out of it. Hiding under a rock was futile, and entering an interior blocked the storm from ever existing outside. I also was disappointed with the howling tornado-like winds that accompanied every storm.
Morrowind had the rain-falling-through-roof issue too, but it's weather was more realistic and varying, from a small shower with very little wind, to a thunderstorm tearing through the area.
I haven't played Fable 3, I heard it cut many features from Fable 2, which cut many features from Fable 1, ect. Worth the playthrough?