Unfortunately, for weather-related delays, you are on your own. You can try to solicit some assistance from the airline, but it's definitely an uphill battle. Mechanical delays, on the other hand, entitle you to compensation.

I understand your frustration. Due to bad weather in FLL on Monday morning, my wife was destined to misconnect with her ongoing ORD-SAT flight, and WN was unable to reaccommodate her on any flight combination between FLL and SAT until the next day. Frustrating, yes. Compensable? No.