I had a GSD who was very fearful of thundstorms. He would start shaking, and if he found my father (his safe spot) he would not budge. He'd cry sometimes too. So, we usually put him in his crate at my father's bedside, or he'd lay at his feet.
I saw this a week or so ago on the Animal Planet. There was a trainer, I forget his name, but you've probably seen him before. He was dealing with thunderstorm phobic dogs and he said you can almost train them out of it by having a cd of the storm and playing it. Very low in volumn at first, and as the dog gets used to it, slowing increasing the volumn over time. I've never tried it, but it's a sugestion.
As for Apollo, he acts as if the thunderstorms aren't even there. Zeus hasn't been thruogh one yet, so I don't know his reaction, but I assume it'll be much like Apollo's. Ignorant of the storm.