Kablam!
Here's what dropped on the house during the second of four nor'easters we endured. Must have scared the crap out of the cats when it happened at around 1 AM.
After removing the branch, I could see the damage. The shard of wood sticking out of the surface is a small part of the branch that punctured the roof, right through two sheets of 3/4-inch exterior plywood.
While it's nothing major, it's still not a trivial repair job.