All the dogs we have now are fine with thunder but the wife had one a few years ago that was terrified of it. She'd go mad and scrabble her way into a cupboard or wardrobe and lie shaking.(The dog, not the wife)
Before we got her she was lost for four days as a pup during thunderstorms. She found her way back to her home eventually but the fear never left her. She'd start to shake, even at the first faint rumble that could hardly be heard.