I'm also in the middle of a rain effect. I can do about 2000 raindrop sprites at a comfortable 60fps on my machine, which is just enough to get a good heavy shower. By spawning them only around the camera I get maximum use out of them too. It's all hardcoded at the moment, the next thing to do is make it all data driven from xml (like the levels and fog currently are). Unlike fog, which is just to get in the way visually, rain will have some gameplay effects too, but I'm not sure what. Probably just slowing the helicopter down and taking up fuel faster.
Other weather effects planned are wind (which will push the helicopter around) and night time (hopefully with big search lights).