Fear of thunderstorms is quite a common problem for our dogs.  To them, loud noises of thunder, or heavy rain can be quite frightening. 

Often times the dog will try to "hide" themselves away from the noise.  Closets, bathrooms, and bathtubs/showers are common places for them to hide.  Many times no matter where the dog chooses to go, the noise is still present, and they will begin to dig or chew items or walls etc. all in attempts to try and get away. 

Destructive behavior when associated with loud noises as in thunderstorms, or fireworks, should be curbed when possible.  Not only are these behaviors destructive, but they represent a high level of anxiety and stress that the dog is going through. 

Curbing this unwanted behavior:  Many different techniques have been tried, but counter-conditioning seems to work the best.  Counter conditioning, involves exposing the dog to the frightening noise by playing audio tapes of thunder or fireworks at various times during the day.  You can even set a timer to play at a certain time or times.  Short intervals of a minute or less should be started, gradually working up to longer intervals. 

Initially, being home with the pet and comforting them through the duration of the play interval is most helpful.  This way, you can monitor the actions of the dog, and when a reaction isn't apparent, increase the time of the play interval.  In this way, flooding the dog's senses with this undesirable, anxiety producing sound, acts to desensitize them to its effects. 

Eventually, when the real thing occurs, the pet will have become desensitized enough to ignore the noise.  Praising the dog and rewarding the dog through this desensitization process is most helpful in achieving the desired result.

Many of us however, do not have the time it takes to make counter conditioning work.  I would encourage you to try as best you can, but when this is not an option, there are medications which can help in reducing your dog's anxiety during the thunderstorm or fireworks event.