I read somewhere that during a thunderstorm you should play with the dog to distract it from the noise. It also reassures them that it is nothing to be afraid of.
Whatever you do, don't sit and hold the dog as that makes them think that they are supposed to be afraid and will make them whine and shake more!
It works with Mitzi, we usually run about the apartment and play ball. She doesn't mind the noise. And let me tell you.....we have thunder that SHAKES THE WHOLE HOUSE!!! The windows rattle and you can feel it in the floor! That's the bad storms of course, if anyone lives by the beach, you'll know what I mean.