I had a cat that was horribly afraid of thunder. Now that might be understandable since a lot of people are afraid of thunder, since it's a fearsome thing, but Obadiah didn't used to be afraid of thunder. In fact, I went looking for her one day after a thunderstorm came in and I realized she hadn't come back inside, only to find her sitting on the picnic table in the backyard, seemingly enjoying the storm. She never was afraid of rain. Then, for reasons that I am unaware, she became very afraid of thunder. She would sometimes hear it before we did, and there was nothing we could do to comfort her, except to allow her to go under the sink, under the bed, or inside of something until the storm passed.
My youngest kitty now, Ella, doesn't seem to be afraid of anything yet. When she saw a skunk through the window, she wanted to go out and play with it. When a raccoon comes to the window, she get excited, scratching rapidly on the window, but she's not at all afraid of it. However, I couldn't get her to look at a gopher that was busily digging a hole in our yard one day, so I brought her out to see it. The gopher was in the hole which, by then, was only about a foot deep, so it couldn't go anywhere, but Ella refused to even acknowledge the gopher's existence, as if she was pretending it didn't exist. I've seen that before, with my other cats, when we were living in the Rio Grande Valley of Texas; they were eating out of the same bowl as a possum, pretending that the possum wasn't even there. Later, when the possum came to the window, they didn't acknowledge it.