N.,
We have the same situation.
With the storms, and we have had a lot of severe weather lately, we stay really calm or say something positive when the thunder crashes, like wow, that was a good one! We also count the seconds between lightning and thunder and talk about how far away it is. The girls (we have 2) then think of it as not scary but something to listen for and learn about. So much of how you react affects how they view a situation. Talk about how the rain makes the flowers grow, or the thunder is angels bowling, lightning is God's fireworks display etc.
As far as sleeping, our 4 year old often slips into our bed. I don't seem to mind, actually I love it, as I know she will be in her own bed and growing up and out of our home in no time. This too shall pass, as my mother would say. Sometimes parenting is a matter of adjusting our perspective and not the child. It seems that as soon as we as parents have something "figured out", they change, have a growth spurt, change their minds, start something new, etc.
She (our 4 year old) often falls asleep in our bed and I carry her to her bed after I have read for a bit and enjoyed snuggle time.
Does she have a twin bed or toddler bed? Our oldest (age 6) did really well as soon as we got her a big bed. The other nice thing about a twin or even a double, you can read to your child more comfortably in a big bed than a toddler bed. The nighttime ritual is important to our family and we really enjoy the reading and talk time before they go to sleep.
Our 6 year old has a double bed and sometimes we put both girls together. When in doubt about bed size, bigger is usually better.
Also, what about her sleeping on the floor in your room? We have let the girls have sleeping bags on the floor sometimes. This would still give you the space in your bed for a good rest, and let her be near by, especially if she is anxious about the weather and wants the comfort of her parents close.
The best advice would be to read Dr. Sears "Night Time Parenting". He will not steer you wrong and he saved us when we were really having a tough time.
Hope you find a way that is just right for your family. In the meantime enjoy this time, as they grow up in a heartbeat!
Best wishes,
J.