Yes, they did, at least as tales. There is a passage in Tacitus' Germania which mentions it and their explanation:

Trans Suionas aliud mare, pigrum ac prope immotum, quo cingi cludique terrarum orbem hinc fides, quod extremus cadentis iam solis fulgor in ortus edurat, adeo clarus ut sidera hebetet; et sonum insuper emergentis audiri formasque deorum et radios capitis aspici persuasio adiicit. Illuc usque, et fama vera, tantum natura.

Trying to translate my German version:

On the other side of the lands of the Suiones, frozen and almost without movement, there is another sea which makes the outer edge of the earth's circle, which is believable because the last rays of the sun stay in the sky until it rises again, so bright that it conceals the stars; and when it rises, it is believed that there is a sound, and images of gods radiant with beams of light. There is, and the saga is true, the border stone of creation.

I can't give any kind of analysis, I just recently read the book and a primary source should give at least an answer for one point in history. Great read, by the way, very captivating.

Edit: The sound he mentions is an indicator he's actually talking about the aurora borealis, by the way - see here: http://www.space.com/16498-northern-lights-clapping-sound-explained.html