Dramatist John Dennis was a playwright, unsuccessful unfortunately. In 1704 he invented a way to have thunder sounds in play but because he wasn't a successful playwright someone else picked up the idea and used it themselves. (ahem, Macbeth) Dennis was overheard grumbling that his thunder had been stolen. ( source ) Today the phrase holds the same meaning as what Dennis was grumbling - when someone steals your thunder you are saying they stole your idea or the attention you were receiving.