Fear of storms

Question
I have 2 Great Pyrenees. My male, Bear, is deathly afraid of storms. As soon as it starts to rain he will start to pant quickly and he wants to all but climb under your skin. Once the thunder and lighting start, he's a total basket case. He will try to crawl into your lap (he probably weighs aprox 135 lbs !!!!), crawl into our bed at night, try to get out the door (where he thinks he's trying to go, I don't know) and has even dug his way halfway THROUGH 2 walls when it stormed and we were at work.
We are at our wits end. He gets so worked up we're afraid his heart is going to burst !!! What can we do to calm this BIG BOY down? It wouldn't be so bad if he was a normal size dog, but a Great Pyrenees with this type of fear is not good. He has never shown any aggression towards us in any way, so that's not a problem. We just want to help him CALM DOWN. He also acts this way when he hears a gunshot, car backfire or fireworks. Lord help us with the oncoming 4th of July !!!!!

Answer
Fear of storms and loud sounds (fear of gunshots is common and you don't hear too many of those,hopefully) is a really serious issue.  Your dog appears to have a pronounced fight/flight response.  Behavioral intervention for this sort of fear is quite difficult, requiring slow desensitization to the sounds themselves (almost impossible).  That means you acquire CDs of the sounds and play them at the lowest level while observing the dog closely and rewarding his non-fear state (meaning: you have to KNOW he's not reacting), and then slowly elevating the sound level; but even this intervention fails at some point often because the sounds reproduced on CD do not approximate what actually occurs in real time in the environment.  Training a dog to a redirected behavior (begin with one, slowly add others (this is called chaining) with escalated reward) is most likely the best approach but, again, quite difficult for someone who has not trained a dog for elaborate behaviors (i.e., "go to" certain toy, "search for" someone/something, bring object back, etc.)  

Because your dog has such severe reactions, it's impossible for me to evaluate him without in person consultation.  There may be other factors involved: his overall temperament, perhaps insecurity with leadership, issues with the other dog (that you may not be aware of), things you've done to attempt to calm the dog, the sort of training he's received, etc.  I suggest you find a veterinary behaviorist; this is a professional who can interview you in person, evaluate the dog's temperament, do blood chemistry, check for overall health, and then suggest medication and behavior modification.  I suspect that a medication intended to calm the dog in overall life experience (such as Clomicalm) will help him to be more at ease; add to that a tailored program in positive reinforcement training and a behavior modification program, you may be able to (slowly) rehabilitate this dog's extreme fear.  You can find such a professional at one of the following sites:
http://www.veterinarybehaviorists.org/
http://www.avsabonline.org/avsabonline/