Maxxamillion was not afraid of thunderstorms throughout his younger years. It wasn't until he turned about six years old that he started to develop anxiety during thunderstorms. What he usually did was jump on the couch next to me and put his head on my lap. I would pet him for the entire time and turned up the TV volume on high and that usually calmed him down. This week the ASPCA has a great article titled "Is Your Dog Afraid of Thunderstorms?"
Paw Here For ASPCA Article