I consider myself to be very lucky, Yazmin doesn't seem to be bothered by any type of music or loud sounds. I truly thought she might be frightened of my 7 speaker surround sound system when she was a puppy but she enjoys hearing dogs barking on TV in stereo! Lol My heart really goes out to the pups that are terrified of thunderstorms, fireworks, etc.
If you're interested in music just for your little guy, I highly recommend the CD's, Through A Dog's Ear. Yazmin once suffered from separation anxiety after I returned to work last year and I found this music to be extremely comforting to her! I still put the CD's on before I leave to go anywhere and she's now fine with being left alone.
Through a Dog's Ear - Using music and sound to improve the lives of dogs...*and*their people!