Thunderstorms are built up by huge, gray-black cumulonimbus clouds that stretch up so high into the atmosphere that water in the highest regions become ice crystals. These crystals usually melt to form rain, but when they remain frozen, will fall as hailstones.
Forces of Nature: ThinkQuest 2000 (Team #C003603)
http://library.thinkquest.org/C003603/english/severestorms/thunderstorms.shtml
Thunderstorms usually form when the air is moist and warm. The warm air rises, then cools, letting the moisture it contains form clouds.