Bailey could not care less about sirens, thunder, fireworks, trains, etc., but sometimes unusual noises bother him. He has some anxiety generally, though.
He's afraid of the freezer -- because, before I got a separate one for his stuff, it was always stuffed and, when I opened the door to take out his food, it wasn't unusual for something to fall out. Totally freaked him out, so now he always runs away when I open it. (We do this at least once a day because he eats raw, frozen. And nothing has fallen out in months.)
He doesn't like it when I blow bubbles (with my gum), either. And cameras and camera phones seem to weird him out.