Poor baby! My Loki is also scared of thunder, but not to the extent of poor William! Loki hides under my bed, too, but recently I've made a nice spot in the closet available. We haven't had any thunderstorms lately, so I don't know where he'll head next time. Under the bed, he'll hide at the very end of the bed, but the blankets usually make a nice curtain. Unless the thunderstorm is really bad Possum just sits there totally unfased.
My dog-niece Jinx is completely afraid of storms and consistently hides in the bathroom of whatever house she's in (she's lived in three). She likes to lay down on a bathmat. At my Mom's house she also liked to hide in a deep closet on the floor where he mommy slept (the bathroom was on a lower floor), which provided us with endless "coming out of the closet" jokes. Once she even hid in the basement, which is odd since she usually avoids basements at all costs. This was, however, soon after my sister had to force her down there because of a tornado threat. She quickly went back to refusing to even step foot on the basement stairs.