I had a German Shephard that did not like fireworks or guns. We lived out from town and had a lot of dove hunters in season. When they started shooting he would go around the house to find a door than was not shut well, push it open and come in the house. Having small kids there was always a door that didn't get shut completely. He was fine when he got in the house, he would lie down until it was all over.. One time my husband had a paper bag with bullets in it, and Prince sensed it and headed for the house.
I don't know if it is true, but I was told that dogs with floppy ears aren't bothered as much as dogs with ears up. My dog wasn't scared, he just didn't like the noise, maybe it hurt his ears. Actually, I don't like the noise either.