Just as many of you have said, my trainer advised not to baby the dog or say "It's OK." Just act nonchalant, unworried, maybe curious about the thunder, but not scared of it.
She also teaches how to help the dog "settle," a technique that helps with storms or anything that makes the dog anxious. It's a calming massage that you can't do too much -- anytime you're just watching TV or whatever. She said the dog will eventually calm down just when it hears the word.
You use two fingers to massage the dog starting at its cheek, going to the top of its head, down one side of the spine, and onto its thigh -- but don't reverse the process -- in other words, always start at the head. All the time you're doing this, say, "Settle" over and over.
Wonder of wonders, it seems to be working with my Golden. He's SOOOO much calmer.
I know there are extremes though -- I fostered one dog that was so totally terrified she'd go insane and even run outside into the storm.