Horses can become very nervous during a storm but, of course, this is all dependant upon the individual. Some horses take such things in stride.

I would never advise leaving a horse unprotected during bad weather, despite peoples' claims that I've heard in the past about letting them loose into paddocks where it's safer during storms (I know someone who lost 3 horses due to lightning one year).

If it's a tropical storm and your barn is new and sturdy, it should be safe for them to weather the storm in the barn, preferably keeping them to an inside stall, rather than one to the edge.

For a hurricane, I would definately say load them up and move them out. If you have to drive clear into another state and take them out of the trailer and walk them around from time to time, it's worth it just to know they're safe and sound with you.