Sometimes weather doesn't go as expected and you may end up with very dull photos when you were expecting a beautiful scenery. However when weather is really really bad, then I couldn't recommend enough to go out and try your luck anyway!
You may come back soaked but also filled with satisfaction after going home with some dramatic photos, very different from the usual clichés everyone else has.
When I got caught by a sudden thunderstorm in Canyonlands National Park, my first reaction was disappointment as I wouldn't be able to visit the park according to my original schedule. However, when I saw the lightnings and the awesome clouds, I started to rejoice and took out my camera and tripod and set up for long exposure, hoping to catch the lightnings in a few frames. This is the result I got after over 50 shots!
I'm happy I stayed but as the thunderstorm was getting closer, I decided not to try my luck too much in order not to end up totally fried by a lightning (my SD card wouldn't have survived and all the photos would have been lost! Haha!)
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From Wonders of the West