My sister is really not happy about thunder and lightning. She's trying very hard not to let that influence her boys - I've been there when it thundered, and she's been sitting there forcing herself to be casual, instead of doing what she wants to do, which is hide in the cupboard under the stairs.
Incidentally, that's not down to our parents or nurture. I'm completely relaxed about thunder and lightning, bar the one occasion I was caught out in a storm on top of a moor, and even then, I just took what action I could to minimise risk, hunkered down and waited for it to pass. And she's not bothered by spiders and stuff. Thunder is just the thing she's scared of.