Once, the previous Lubavitcher Rebbe, Rabbi Yosef Yitzchak Schneersohn, recalled the following about his predecessor, Rabbi Menachem Mendel of Lubavitch:[1]
Chassidim were wont to say that the Rebbe is more frightened from thunder—though he has never heard it—than from the Czar and his officers.
The Talmud (Berachos 59a) states: “Thunder was created only to straighten out the crookedness of the heart, as it says (Kohelet 3:14): G-d hath so made it that men should fear before him. By saying that the third Rebbe of Lubavitch feared thunder more than the Czar and his men, it is expressing that the Rebbe feared—what is considered—the lowest level of fear of G-d, more than any mortal fear.
[1] Sefer HaSichos, Kayitz 5700 Pg. 147