I noticed this one day, a lightning/thunder occurred and my Fabulosa Spanish music died for a second. But not FM?
AM radio typically transmits at around 1 MHz, FM radio at about 90 MHz. Measurements of the RF spectrum of lightning strikes show a falloff with frequency of about 20 dB per decade in that frequency range, so with FM about 2 decades above AM, you'd expect AM to have about 40dB higher interference from a lightning strike. In addition to that, FM signals attenuate faster with range, so depending on your distance from the lightning strike the effective AM/FM interference ratio could be even larger.