Many dogs are fearful of sudden and loud noises like thunder, fireworks, or sirens to name a few. For some dogs it's worse than others, and the phobia can appear for no apparent reason to us. The trigger noise can cause some dogs to cower, become destructive or even run away. There are a few things you can do to help your dog through its fear, or try to extinguish the fear altogether.
For a lot of dogs, it is enough to simply make a dark, quiet and safe place assessable for your dog. If your dog does not like to hide when frightened, and anxiously wanders, you may find it helpful to keep your dog engaged in a fun activity that distracts him from the noise. If your dog loves to play fetch, then start playing fetch before any real fear sets in. If your dog loves treats, or training etc, use that to distract him until he calms down, or the noise stops. If, during any distracting activity, the dog starts to show any fearful behavior stop the activity immediately or your dog may begin to associate that activity with the noise and fear.
If you want to play a more proactive role in your dogs fear, you can do some desensitizing training to get your dog to not react to the trigger noise. It is very important to start very slowly, your goal here is to make your dog comfortable with the noise and not show any fearful behavior. To start, get a recording of the noise and play it low enough that the dog does not react, feed him his dinner while you play the noise, and gradually increase the sound over a few weeks until your dog is comfortable with the real thing. If your dog shows any fear at any point in the training, take a few steps back until your dog is comfortable once again.
There are many CD's out there that are made for this desensitization process.
Things NOT to do:
Don't pet or comfort your dog while he is acting fearful, this can be perceived as a reward for their fearful behavior.
Don't lock your dog in his crate against his will.
Don't punish your dog for being fearful.
Don't force your dog to be near the trigger noise if he is fearful to do so.