Why is my dog so frightened of loud noises such as thunder, firecrackers and loud vehicles?
Phobias can develop from a single experience (one event learning) or from continued exposure to the fearful stimulus. Although some dogs react with a mild fear response of panting and pacing, others get extremely agitated and may become destructive or panicked. These dogs are experiencing a phobic response to the stimulus. These phobias may develop because of an inherent sensitivity to the stimulus (i.e. a genetic predisposition) or exposure to a highly traumatic experience associated with the stimulus (e.g. a carport collapsing on the pet in a windstorm). With multiple exposures to a fearful event a dog may become more intensely reactive if it is reinforced by receiving attention or affection by well meaning owners who are merely trying to calm the pet down.
What can I do if my dog is phobic in those situations?
Dogs that experience phobias often need professional intervention by a veterinary or applied animal behaviorist. These pets are usually at risk of harming themselves or property when faced with the stimulus especially if their owners are not home. If the dog will be left alone in a situation where it may encounter the phobic stimulus, drug therapy may be needed to prevent injury and destruction.
Is there any way I can treat my dog myself?
First, identify the stimuli that evoke the behavior. For gunshots, fireworks or a car backfiring the stimulus might be quite obvious. However, for thunder-storms, it may be the darkening of the sky, a drop in the barometric pressure, or high winds all of which occur prior to the storm. Naturally, the storm itself and the rain, wind, lightening, and thunder can be the stimulus for the behavior. Some dogs even become phobic of going outdoors because of certain sights or sounds that you will need to identify.
In order to set up an effective retraining program you will need to be able to reproduce the noise. Finding a means of reproducing and controlling the stimulus is one of the most difficult aspects of the retraining program. A recording or video might work for thunderstorms. Unfortunately, as discussed, many dogs are afraid of other components of a storm that are difficult to recreate. Therefore it may be possible to treat some, but not all aspects of the phobic response. Recordings may be useful for desensitizing dogs to the sound of fireworks, and the visual stimuli can be minimized by confining the dog to a brightly lit room with light proof shutters or shades. 
For gunshots, recordings of a starter pistol set inside 4 or 5 nested cardboard boxes might be a way to reduce and control the stimulus. Sometimes, increasing the distance from the stimulus or finding some relatively sound-proofed room to do the training might work.
If a recording is used, you will first need to ensure that it does indeed reproduce the fear. Then, to begin to desensitize the pet you will need to begin retraining with the recording at a low enough level that it does not evoke the response and the dog is rewarded lavishly for good (non-fearful) behavior.
Retraining should focus on the use of rewards and training the dog to lie quietly in a favorite resting area to receive these rewards. The resting area should help to comfort and provide security for the dog, and the rewards are intended to teach the dog to associate nothing but positives with the low levels of the stimulus. Gradually, the volume is increased so that the dog learns to tolerate the "storm".
Another reason that it is extremely difficult to overcome fears and phobias, is that while you are attempting to desensitize and counter-condition the dog to the noises, the dog is likely to be exposed to a recurrence of the actual event (e.g. a thunderstorm). During these times, do not reinforce the fearful and phobic responses with petting and reassuring vocal intonation. This would serve as reinforcement for the behavior and make it continue. For some dogs, placing them in their favored resting area in a room or area that has been sound-proofed and playing some calming music may help to decrease the dog's reaction. Drug therapy may also be useful in some cases.
Why would my dog become frightened of certain places?
Lack of early exposure to the sights, sounds or perhaps odors of a particular location, or one or more traumatic experiences associated with that location could lead to fear. The fear is aggravated by an owner who tries to calm the dog down with affection or verbal intonations. This only reinforces the fearful behavior. For example, dogs may be frightened of traveling in the car because they become car sick or because the car ride is always followed by an unpleasant experience (such as boarding or a veterinary visit). Your dog may also become fearful of the veterinary hospital if it is always associated with unpleasant experiences, or of a particular room or area of the house (such as a basement or a cage) if an unpleasant event has occurred in that area. Some dogs even become frightened of the outdoors, because of unpleasant experiences that have occurred there. 
How can I treat my dog's fear of places?
It is necessary to place the stimuli along a gradient, as well as carefully observing what the dog does. For example, the dog may walk into the garage okay, but begins to get agitated when approaching the car. Or, the dog may be okay approaching the car and only upset when forced to get in. Desensitization and counter-conditioning are used to retrain the dog. Begin with good responses to obedience commands such as 'sit' and 'stay' for favored rewards.
Then train and reward the dog in situations where the fear is very mild. With a fear of car rides, the dog might first be rewarded for not showing fear when it is 8 feet from the car, then 7 feet and so on until the dog can approach the car without showing signs of fear. Eventually the dog should learn to take rewards when it enters the car, and at further sessions the dog should learn to relax in the car with the door closed, and then when the motor is turned on. In much the same way it could take a few more sessions until the dog learns to take rewards in a moving car.
For the dog that is fearful of the veterinary office you might begin by taking the dog to the veterinarian's parking lot and doing some training exercises for food rewards, and progressing to the front walkway or into the waiting room. It may take many visits to train the dog to enter the examining room for rewards, be greeted by the staff or sit on the examining table. Similarly a dog that is fearful of a cage or particular room may need to be taught to lie in the doorway for food and rewards. Then proceed a step or two into the room, or a little farther into the cage, to receive the reward at each subsequent training session.
In treating fears you must have sufficient control of the pet so that there is no chance of injury, the pet cannot run away or escape from the stimulus, and the pet will calm down and accept that the stimulus will cause no harm. Obedience training for rewards is a positive way to ensure that you gain control. Begin in situations where the stimulus is not present, because if your dog will not respect your control and take rewards in non-threatening situations, you will not be able to control and settle your dog in problem situations. 
Often a leash and head collar is the best way to maintain control and ensure that your dog will perform the desired behavior in the presence of the stimulus. The leash and halter prevents escape from the stimulus; helps build the dog's confidence; controls the head and nose so as to get the desired behavior (e.g. sit, heel); allows the owner to redirect the head away from the stimulus and toward the owner; prevents the possibility of a bite or injury; and provides a reward or release for each proper response. It is also necessary to control the stimulus because it must not be removed until your dog calms down and realizes that it will cause no harm..
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