Please help! scared of loud noises

I have 1 1/2 old australian shepherd. He is a great and happy dog. He is really smart and easy to train. If you ask him "Ziggy wheres the bees" he will tear off around the house on a full-blown bee hunt. We also taught him to play hid and seek (which my 2 year old son's new favorite game). we will tell him " Ziggy...sit.. stay" then run around my house and hide. then we yell" Ziggy come find us" and he runs around looking for us.
Although we could not ask for a better dog, he has ran off once during a thunderstorm and once because of gunshots. We have a pen that has contained him during storms but he starting climbing out. i rigged it up so he couldnt climb out and he learned to open the latch. he doesnt quite have it down yet and i know that i can lock it or tie it, but i really wish that there was a way to break him from his fear of loud noises. I would really appreciate any help.

Have you looked into rescue remedy or thundershirts?

http://www.thundershirt.com/

http://www.nelsonsnaturalworld.com/en-us/us/our-brands/rescue-remedy/using-rescue/why-rescue-pet/

Both of these products could be helpful if it looks like a storm is coming.

no i have not tried either of them but i would rather not do those. i dont want to have to worry about him depending on medicine or running around the farm all the time with a thundervest on.

There is no "breaking" dogs of noise/storm phobias like it's a bad habit - it's part of their genetic temperament. Herding breeds in general seem more prone to these issues and I have known quite a few severely noise/storm phobic Aussies. The most successful cases I have heard of where the dog was desensitized to storms were ones in which people used a proper anti-anxiety medication along with following a long term behavior modification program. A lot of dogs will find a safe place in the house and hide during storms but can't deal with being confined, so maybe you could bring him in during the storms.

^ this. Both of my dogs (an Aussie/Collie mix and a Lab/ACD mix) have noise/storm phobias. Although neither one of them run away due to storms/gunshots, we have started to have to keep a really close watch on Rose, as in her old age if she is loose outside and she hears gunshots/a storm approaching, she heads off towards the highway (a good two miles away, mind you) to try to "find us" as that is where we head in our car when we leave.

With Rose, the best thing we can do for her is kennel her outside during storms (please note, she is a predominantly outside dog so we aren't just kicking her outside due to a storm coming ), or bring her in the house if someone is hunting/shooting so she can't hear them. We've tried having her in the house during storms, but she constantly paces and gets destructive. If we confine her in a crate or to a room, she is even more destructive (she's destroyed part of the wire crate and ripped out a few teeth and nails in the process). When she's kenneled outside, however, she just goes to her doghouse and stays there until the storm has passed.

With Chloe, she isn't destructive, she just wants to crawl into your skin or lay right by your feet. I plan on getting a thundershirt for her, as well as trying some form of medicine, be it herbal or conventional. The goal being for her to be able to relax during storms/periods of loud noise and not curl up into an anxious, quivering, shaking mess at my feet.

If you aren't willing to use behavior modification tools in conjunction with a behavior modification training program, I really think your best bet will be management, because there isn't going to be an easy fix for it. It will take time, money, and a lot of effort if you want to try to work with him.

Otherwise, put a padlock on the kennel so he can't lift the latch, cover the top so he can't climb out, and make sure he can't dig out of it, either. Don't let him run loose when no one is at home during storm/hunting season and when you are home, if you notice a storm approaching or someone shooting, kennel him (or bring him into the house/let him into the garage/crate him/whatever keeps him the most calm). It may sound like a "hassle", but we've done that for the past 13 years with Rose and it isn't that big of an issue.