Teaching dogs to be relaxed around loud noises is a bit like training a boyfriend to tolerate listening to music I like and he doesn't.
For the dog:'
Find Out The Source Of His Fear
The first step is observation. Is it just thunder that causes your buddy to shake and shiver? Or is it other noises as well? Noises such as the engine rumble of a transport going by, a gunshot, thunder and loud bangs or deep voices are all common causes of noise anxiety. Identify which one bothers your dog the most.
Create A Positive Association
The next step is to set about an association reaction. Hear the thunder coming? Before the tremors set in, haul out the dog treats. Before your dog gets to the cowering point, hand out a treat for every second he does NOT try to run. If he stays in a "sit" reward him. Sometimes owners unwittingly reward the fear reaction, encouraging their dog to BE fearful.
Build Up To The Noise Gradually
Set up a tape recorder, and record the worst of the thunder noises (or other noises that cause the fear). Pick a day when you can put up with it, and playback the recordings, starting on a low volume setting, and get louder gradually. As the noise continues, your dog will experience a less intense reaction. I should emphasize that you increase the volume GRADUALLY.
For the boyfriend:
Without explaining what you are doing, play the music you like and immediately deliver superb sexual gratification. Repeat often. He'll learn to love your music. I promise.