As I've mention before, I like to wear raincoats in the rain so that I can experience the elements without getting my clothes wet. I like the sound and feel of rain, and also the mood it brings wherever it falls.
When it rains and I'm out in nature, I listen to the sound of rain on leaves and watch water dripping from the trees and running along the ground. Insects seem to go into hiding during the rain, which can be nice.
When it rains and I'm in a city, I like watching the streams that form on sidewalks and roads and (hopefully) show an efficient drainage system at work. Rain can have an isolating effect on pedestrians-- people are less likely to stop and talk to me when I'm walking in the rain. On the other hand, sheltering from the rain in a bus stop or something with other people seems to make folks more friendly.
Sometimes it seems a bit strange that water falls from the sky, but I suppose that's the world we live in.