Hi Santiago,
There are many ways to help decrease fear of thunder without medications.
Supplements such as Harmonease, ProQuiet, and even melatonin can be helpful for some cases.
Adaptil collars, diffusers, and sprays can help some dogs.
Thundershirts, Anxiety Wraps, and Storm Defender capes can also be helpful.
Behavior modification is best done outside of thunder storm season for many patients and includes desensitization and counter conditioning to triggers (noise, light flashes, darkening of the room/sky, etc).
Dogs with fear and panic during thunderstorms often have other noise sensitivities/phobias and separation anxiety.
I hope that helps!
E'Lise
Along the lines of this topic, my recent Evidence Based Update includes the findings of a nice study that examined the effect of a pressure wrap (specifically the Thundershirt®) on heart rate and behavior indicators in dogs diagnosed with an anxiety disorder. It's available for On Demand viewing.