Proven phenomena?

All of these explanations are based largely off partially-remembered facts and trivia. They are not specifically verified, but IMO can be considered reasonable stopgaps. These are knowingly marked by * i.e. where you see "*" replace it with "at least, if I remember that shit right and the internet wasn't lying". As explained by another, simply a psychological trick. The mind can be trained to ignore pain, it being merely a chemical transfer and reaction in a few receptors. Studies* show that if an organism knows it can afford the resources, it will concentrate on healing, instead of worrying about its environment. The kiddy's booboo example would be along those lines. Something I am personally familiar with, and which I feel to be on the order of either mentalism (hot reading, cold reading, simple applied psychology) or instinct (you know when the TV is on even if muted; why? you can feel the electrostatic field it creates). Hallucinations, possibly as some sort of biochemical reaction as the body detects an approaching end to its "conscious" existence as a distraction from whatever is killing it. Animals are noted to become quite calm and still when fatally injured - the same thing in effect? Would be some interesting research. Birds, fish, planes, etc. Just a hype-based thing, really. Also something I have had many times. Most likely an event occurs that resembles strongly a past event; the new event overwrites the few differences in the memory section of the brain, while maintaining the majority of that part which matches the new event. Result is that the brain thinks it has experienced this event before and gets freaked out, despite there having been two unique events instead. Colliding branes, energy imbalance*, Goddidit. Whatever you prefer, really. Which kind? Mammatus cloud - Wikipedia Probably the best on short notice.
IIRC, there's one about warm air rising. Seems very familiar after some study of raindrop size restriction created by the passage of air (look up the Wikipedia page on raindrops, a simple passage there somewhere). And water is the only that can possibly exist as a liquid? Uh-huh.
Maybe more detail of what the rain as made of, before any specific analysis of it. Static/lightning discharges is the favoured explanation*. On a related note, N-rays. People will see what they want to see, especially if there's a good excuse. No comment (read: got no frickin' clue). Kidnappings; faked deaths/disappearances; elopement. Probably people seeing zebras, to mangle the old doctor's phrase. No comment (read: too much thinking required). Never heard of it. Sounds like it could be good; more information please? As before, mentalism does quite a few of those; fakery and the "zebra effect" do others. IIRC, these are similar to/the same as St Elmo's fire? Lightning that give the same effects as the aurorae. I would have guessed some kind of electric effect (abe: Wiki says that's one of the hypotheticals) resulting from the sudden movement in the plates. Not a geology guy though, me.... getting bored. CBF doing the last few.