That would be Highlander, the Series. (1992 - 1997)
It was a spin off from the Movies of the same name, and spun two additional shows off of it, as well. (The base series, the Raven, and, believe it or not, an Animated Series.)
The thunder you are remembering (and usually a lightning strike) are part of getting 'The Quickening''The Quickening', after defeating another immortal.
Be careful -- this link could lose you hours of productive time.. But the TvTropes page on Highlander (Series) may help confirm this is what you a remembering. The Highlander Wiki, too, may be of interest.