If your dog is scared of thunder I recommend getting your dog a thunder Shirt. My sister has one for her dog and it works great at calming the dog during a thunder storm.
If your dog is just scared of other things, avoid trying to cuddle them as they will get more scared for some reason, try and distract the dog with something such as a toy or getting them to play some game or something else with you.
Find a quiet spot where your dog can reside until they calm down.