MSNBC has a great article about why some dogs get scared, and strategies you can try to help ease their anxiety. The article also talks about the science behind the fear may be about more than just noise--the drop in barometric pressure and increase in static electricity can be uncomfortable for you dog. Some of the solutions include "thunderwear" for your dog--snug and comforting unitards (aka swaddling), anti-static capes, or earmuffs. Click here to read a review of the storm defender anti-static cape. You can also play loud music or the TV during the storm to help drown out the thunder.
It sure doesn't sound like there are any silver-bullet solutions for dealing with this but if your dog has anxiety over stormy weather, you are probably ready to try anything. Like $60 capes.