Pool chemicals should always be stored in a cool, dry, well ventilated location. I've heard stories of people fainting because they stored their chlorine inside of a garage (in the summer) and passed out because of the chlorine gas. Aside from being dangerous, chlorine gas can cause materials around it to become brittle and rust.
Store pool chemicals away from a heat source, electric source or an area prone to flooding. Certain chemicals are oxidizers meaning they release oxygen. If a fire were to occur, it could quickly spread due to the abundance of oxygen the chemicals can release. If available, keep a copy of the MSDS (Material Safety Data Sheet) on hand.