My dog is afraid of lightning and thunder!

I don't know if its normal or not. We have four girls and one boy. Yeah, actually I'm talking about our dogs. we don't have children so we call them our children. lols. Anyway our only boy is afraid of thunder and lighting. And I really don't understand why. We even bring him to the hospital when its raining for one week and he did not eat and pull his hairs. Is other dogs also afraid of thunder and lighting? And may I know why?