Yes. All our dogs have. I've learned that giving them a lot of attention when they are acting neurotic actually increases the behavior. So, we tell them quietly it's OK, then put them in their crates, which they love. Their crates are covered with sheets, so they feel safe and they have blankies and their "babies" in there. They will now automatically seek us out during a storm and then go directly into their crates, knowing they will be safe there.
Although, they have been known to ride out storms under the footrest of our LazEBoy couch! They look at me (they stare
at me) until I put the footrest up and sit down and then both of them, a huge male Malamute and a pretty muscular female Black Lab try to fit under my foot rest. I'm the "Rescue Mama" I guess.