My Mom and Dad made them exciting. We never felt afraid. We loved the energy and drama of the wind and the rain. We had a great time gathering downed branches for the adults to saw later for firewood. Wading through the 2-foot deep pond where we usually had a field was lots of fun. Reading by candle light seemed like an adventure. Eating melted ice cream on the third day after the power went out was not so great, but it conveyed a useful lesson about thrift. One time my parents even let us jump into a small swimming pool that had waves 2.5 or 3 feet tall.
Certainly you want to teach your kids how to stay safe. Maybe you can also teach them to find fun where others find fear.