A fear of loud noises is extremely common among dogs. Whether it's thunder or fireworks, many dogs will cower and shake when confronted with a boom or bang.
Check out Stephen Colbert's hilarious take on what's really going on below.
On a more serious note, if your pup shares this fear, consider investing in a Thunder Shirt; they can really help to calm your dog's nerves. Also, dark small areas (such as a crate) and TV to block the noise can make a world of difference!
https://www.youtube.com/watch?v=tfxJ_eUg9Uc&feature=em-subs_digest