My Daisy is afraid of the rain, but only in the back yard. She will hold it as long as physically possible (one day, she didn't go out at all util about midnight).
However, she's not afraid of going out in the front in the rain...what works with her (sometimes) is putting the leash on her and going into the back yard with her. For some reason, the yard is OK if she has the leash on...I wish I knew what goes through their heads.
My sisters dog hides under the bed ANYTIEM there's thunder, even if it's so far off that we can't hear her. The vet told her about sometihng called Calm, it's some kind of dog tea or something...it's expensive, but the vet said it works (I think you have to give it to them 20 or so min before the storm)