I can vouch for the Benadryl, but a friend tried the Thundershirt on her lab and it didn't work for her. I would say it depends largely on the dog.
Our mutt isn't scared of thunder or loud noises, he's more like aggressive toward them. He'll run himself into the ground barking and carrying on during a thunderstorm. Seems like he's trying to catch it! He has hurt himself pretty bad once or twice and kept the neighbors up all night once when we had to leave him out overnight and it stormed. We were out in a tent in the back country, when we returned to civilization, we had at least a dozen voicemails from our neighbors! But I digress...
2014 Jay Flight 28 BHBE
2015 RAM 2500 6.4L HEMI, Tradesman 4x4, 3.73
Blue Ox SwayPro (BXW 1503)
Upgraded from an REI internal frame backpack and a Eureka 1/2 dome tent!