If the rain is light enough or you have enough gear to stay comfortable and dry (or just don't mind getting wet), take a hike or walk anyway! Rain helps keep the dust and heat down and it provides some pretty beautiful views once it saturates the landscape, views you won't see on your average sunny day.
Okay, so Oklahoma might not have a ton of big cities, but it is top notch for roadside attractions. Grab your dog, an umbrella and a camera and hit the road. Check out places like the 66-foot neon soda bottle, the Blue Whale of Catoosa, the Playtower, the Spiro Mounds, classic Route 66 stops, the Totem Pole Park, the World's Largest Peanut or even the Praying Hands. Need we say more? You'll stay comfortable and dry on the drive and get the chance to explore even in a downpour.