http://photo.accuweather.com/photogallery/2007/5/500/e973857da.jpg
http://img.ezinemark.com/imagemanager2/files/30000560/2010/10/2010-10-15-11-58-10-3-lightning-over-table-mountain-and-lions-head-in.jpeg
http://nynerd.com/wp-content/uploads/2006/11/4-lightning-photograph.JPG
http://2.bp.blogspot.com/_512VEbm7xB0/SYMGyCJ0uaI/AAAAAAAAUNE/1y4rjfnXxSE/s1600-h/a333_c4.jpg
Lighting/thunder would make for some epic in-game battles. place two warriors in a thunderstorm during an especially dark night and you got yourself an epic battle.
as for having lightning strike the landmass and the ocean in Skyrim, I think it would be a great idea:
-It'd be cool to see the lighting actually strike places.
-It'd make you think twice before going out in a thunderstorm.
-It'd be a cool, rarish occurrence to see it strike closeby
-I'd make the thunder more dynamic (close lightning has loud thunder during or right after the lightning-flash; distant lightning has quieter thunder sometime after the flash)
I think that if lightning strikes you (with a 1 in 1,000,000 chance) it shouldn't be a game-over, however. after-all you are Dovahkiin, it should just hurt you kinda bad.