An idiom referring to violence and uproar, especially in a story. Applied to adventurous and melodramatic stories, which may include sword fights and, apparently, big storms among their many attractions. (Okay, thunder probably isn't meant literally).
The first recorded occurrence of the phrase, in 1852, was actually "blood, thunder, and whiskey", referring to newspaper articles. By the late 1800s the phrase was so common that it was often shortened to simply 'blood' -- "blood stories" and "blood books". The Penny Dreadfuls were sometimes referred to "penny bloods". These days the entire phrase is used, or no one will know what you're talking about.