The weather, one of the few forces used in fantasy that does not involve a man in a pointy hat or waving a sparkly stick. It's a great tool to have and - as it has in our world - it can change the circumstances of any event very dramatically.
However, sometimes it can also create the most horrific cliches, not just in fantasy - although this genre is one of the worst. Yes, the weather has a nasty habit of turning bad at the wrong moments (any Brits here will agree with me on this) but it doesn't do it all the time for heaven's sake!
No matter how alien any author can make their fantasy world, there is always going to be some change in weather patterns, there has to be, otherwise the setting just isn't believable. Even if you had a rocky desert planet where there are no clouds or anything, the sun would still set and there would be some sort of temperature change. How unpredictable these changes are will depend on the setting and whether or not the denizens of your world are able to tamper with it. If someone or something is able to influence the weather in some way, you have to be consistent with it - you can't have someone who is only able to conjure up small breezes suddenly call in a hurricane big enough to smash a whole army now can you?
But I'm getting off the point. Back to the question at hand: Why in the name of all things fantastical does it always rain whenever something bad happens?
Weather is a great mood setter and, generally, authors will use this to their advantage. It's a little tricky to write a painful death scene in the middle of a sunny meadow surrounded by singing birds isn't it? So yes, you can be permitted some leeway in that area. But, overusing bad weather in negative situations can mean your setting loses all believablility. Also, it gets right up the reader's nose.
Rain is great for depressing situations. If your hero has just lost a friend or a family member, if someone has just revealed a terrible secret, if a rampaging giant alien fish finger has just stepped on someone's aunt's cousin's niece's hamster, you will want to make the scene sad. Weather is brilliant for this, the image of some poor bedraggled soul looking despondent in the middle of a rainstorm is very poignant. But for heaven's sake DON'T OVERDO IT! If you do this too often then it will just kill the story.
And how does this rain suddenly manage to appear out of nowhere? For all the reader knows it was a perfectly nice day until catastrophe struck and then boom-bam it's bucketing it. If you're going to use the weather in a scene, make sure you let the reader know where it's at. Tell them it's a foul day before you start on the waterworks, however don't go over the top and lose the focus of your scene describing a particularly interesting cloud formation. And, for goodness sake, don't only use rain in bad places! Use it in one or two by all means, but not every single time something goes wrong.
If you do, then you'll probably end up drowning all your characters with all the water you'll be tipping onto them.