Following a post regarding a dog's behaviour that may have been firework related and, given the approaching date, I thought it might be worth posting some general information.
I've certainly seen gun dogs, fine with the gun, but scared of fireworks or thunder. It seems that if the dog can associate the noise with something AND be able to realise it is not a threat, they are OK. If they can't do either of these, then they are frightened. What is more important is that they seem to remember they are frightened, so the problem gets worse.
Start with a visit to your vet a) to check there is no disease problem b) to check they are OK for medication if needed
Utilise the dog appeasing pheromone (collars or diffusers) Adaptil. This mimics the pheromone the bitch produced when suckling and can have a huge calming effect on the dog
Create a safe haven - a den - for the dog. A cage, with loads of thick blankets over it, heavy curtains on the windows to damp the noise
Play white noise - constant heavy rhythm, and quite slow, so Thrash Metal is out!
Feed a high carbohydrate meal before the event
Medication - valium and similar drugs are best as they counter anxiety. The yellow ACP tablets make it worse as they are sedative, so the dog can't escape from the noise
You - Your dog is best ignored. If they hide, then sitting with them can make them think that you are frightened too, which makes them more anxious. If you have to do something with them, then do some training or some retrieving.
There are excellent CDs to desensitize your dog, but please do this with help - most vet nurses are excellent at it. It will take time, but the outlook is good.
Hope this helps, other vets on the forum may have some helpful hints, or something I've missed, so chip in!