Thunderstorm Fears

If your dog has fear/behavior issues during a thunderstorm you need to desensitize him/her from the event.
(Typical thunderstorm season runs June through August on average.)

Start by playing thunderstorm sounds on a cd. Increase the volume over time.

During the sound listening or during a real storm, distract him/her by playing then rewarding the good happy playing behavior with a treat.

Don't pet or stroke your dog to sooth him/her during a storm. This just reinforces their fear.
Go about doing your regular everyday business ignoring the outside happenings. Eventually your dog will catch on that there is nothing to fear.

If none of these work, talk to your vet. Your vet may prescribe a short acting medication that calms your dog.

Here is another article with a bit more info.
Also -- there are many comments/stories by other owners on how they cope.