This is so common. Ive heard many stories from my clients of how their dog runs and hides in the bath tub when they are having a thunder storm.
The most important thing to remember is not to praise your dog for being scared. This will only reinforce the behavior. That means no extra petting and coddling. We want to act normal like we are not worried so why should they be.
One of the best things I have found is the Thundershirt. It is available online for about $40 and is just a shirt that your dog would wear when it has anxiety. This works so well for a lot of dogs.
The other thing you could do is work on desensitizing your dog by playing thunderstorm Cd’s at a low level and then raise the volume a bit. Do this every day in hopes that your pup will get used to the sounds.