"When shall we three meet again? In thunder, lightning, or in rain?" - Act 1, Scene 1. This line, along with the stage direction of "Thunder and lightning", sets the ominous, cynical, and enigmatic feeling that the three witches emit throughout the play.
Shakespeare includes the theme of weather (especially thunder) to show that something bad is happening, and to paint a gloomy and dark setting for the audience. Also, the thunder is only described right before Macbeth goes to meet the witches, which represents that the witches are doing evil and unnatural things that go against the norm. Similar to how thunder goes against the normal sunshine and happy weather.