A saying meaning that no matter how bad something is, it's really not THAT bad. Can refer to the weather, but it's not limited to that.
Person 1: Would you look at this weather?!
Person 2: Yeah, it's wet, but it's no Katrina.
Person 1: Man, my wife threw me out again last night. I had no bed to sleep in.
Person 2: Eh, I feel for you, man, but that's no Katrina.