My 60 pound dog turns into a very nervous little lap dog when he hears the slightest sound of thunder. It's cute, in a very perverse way. He tries to either snuggle on the floor right next to me or he tries to get into my lap. Here's a picture of him in lap dog mode.
As I type this, there is thunder in the area and he's curled into a tight ball right under my feet and the keyboard tray that I have pulled out from my desk.