Do you think rain (and other weather effects like fog, wind, storms...) help build atmosphere and immersion, or do you sometimes find them annoying or unnecessary?
It depends on the context. If the game has rain, fog or storm etc for decoration, it might interfere gameplay inadvertently such as having heavy rain in run n gun while there are shots which look almost similar to rain drops.
OTOH those effects are great or even necessary to show direction of blowing wind if there were strong wind blowing player and objects.