The First Key to Understand
Helping a dog that is afraid of loud noises can be draining emotionally and physically for both owner and pet. The unfortunate reality is that human nature tells us to treat dogs like small children when, in fact, they are an entirely different species than us. There is absolutely nothing wrong with loving your dog. In fact, dogs have been shown to experience the emotion "love" in many studies the same way humans do. Dealing with fear, however, one must understand the psyche of a canine and respond accordingly.
Use Neither Positive nor Negative Reinforcement
Domestic dogs are excellent examples of operant conditioning. They learn based on human positive and negative reinforcement. When you're training your dog to sit on command, what do you do? If you are like must people you tell him to "Sit!" gently push his rear end downward and reward (positively reinforce) the dogs behavior with a treat and pet him lovingly. The reason this is done is because he learns that every time he sits you will give him a treat and/or the petting he desires. It is important to understand that a dog's brain operates by doing what receives reinforcement. When your dog cries, barks, or hides after hearing a loud noise, most people immediately hold their dogs, coo them like an infant, pet them, and try to reassure them that all is okay. There is nothing wrong with doing those things, but you must realize that you are subconsciously telling your dog it is okay and acceptable to behave the way he did. His mind works much simpler than ours. The thoughts through his mind are "Loud noise-Cry, Bark, Hide-Get reassurance." The dog will understand that his behavior is appropriate for the situation. If you want his behavior to change you must not reward it.
It is also important not to negatively reinforce his behavior. Many breeds of dog love receiving copious amounts of attention by any means necessary. When your dog behaves in a way you do not approve of, it is important not to yell at, and especially not to physically attack your dog. These will not only reinforce his behavior, but will also strain the bond between owner and dog.
Method One: Desensitization
The best way to teach a dog to not be afraid of loud noises such as thunderstorms and fireworks is to desensitize them. This is done by presenting them with their biggest fear and allowing them to realize that their fears were unfounded. The best way to go about this is to buy or make a recording of thunderstorms or fireworks. Engage your dog in normal activities and play the recording on low volume. Pretend like you do not hear the sounds, and go about your every day activities. Your dog will take the cue from you that all is okay and will carry on as if nothing is happening. Very slowly (over weeks and months) increase the volume of the frightening stimulus until the dog no longer fears the loud noises.
Another Option: Distraction
While the loud stimulus (fireworks, thunder, etc.) is occurring, try to convince your dog to partake in his favorite game, play with his favorite toys, or just engage in commands (sit, lay down, speak).
Dual Option
Combine these two ideas and engage in your dogs favorite activity. While playing his favorite game turn on the recording of his most feared stimulus. Your dog will be so involved in your game that he will not even notice the stimulus and will subconscious begin not to fear it any longer.
Love your pet with all your heart, take a moment seeing the world from his point of view, and you will quickly be on the same page, with less fears, and a stronger, happier bond than ever before!