Storm Clouds so far only have appeared in two levels in the Dark Castle Series, and they are Shield 4, and West Tower Top. They are not Enemies, but more Obstacles. They float back and forth, striking the ground randomly. If hit by the strike, you will die. To collect the Shield, one must have the lightning strike them while holding it above their head.
Though they strike randomly, it's always around the same amount of time, learn the timing, and jump a lot. Make sure after picking up the shield, to hold it above you head before the lighting strikes.