I just posted this as a response on Megatokyo's board...figured it was valuable enough to post here as an effect tutorial.

Step 1: Have a source pic

Make sure you got something to rain on...not really a step 1 but I had to start somewhere.

Step 2: Make some noise

Create a new layer above the background layer and fill it with black.

Run Filter>Noise>Add Noise

Choose: Gaussian, Monochrome and an amount of around 65..depends on how big your pic is and how much rain you want.

Step 3: Motion Blur

Now...run a motion blur filter
>Filter>Blur>Motion Blur

Use a setting similar to what I have here.

Change the layers blending mode to "Screen"
(That makes all the black transparent)

Now do this:

>Image>Adjust>Levels
Slide the central grey arrow to the right till the rain looks right.

Step 4: Tada

Now you have rain! Easy!

Add to it's realism by adding puddles and reflections on hard surfaces..make little white "v"s where the rain bounces off stuff in the foreground.