This video shows how you can use food to distract your dog from their fear. 

Loud noises such as gunfire, fireworks and may terrify your dog because they don't know where it's coming from, what it means and it's unusual to them. I have my doubts it hurts their ears, and I'm pretty sure hunting and police dogs aren't deaf. I've also seen dogs in noisy situations, where I beg for ear plugs, but the dogs don't even flick their ears back. Sirens also do not hurt their ears as many people believe, they howl because it sounds like a distant dog, and it's only polite to answer back.

I have seen dogs that have been traumatized by normal, everyday noises because they have been associated with negative events. Just as the crinkle of a sandwich bag prompts your dog to run to you, particular noises can be associated with scary events.

The more often an event happens, the stronger the neuron connection develops in the brain. If something rarely happens, sometimes those connections fail, and we can forget. You say "cookie" and your probably pretty consistent about delivering. You say "come" and more often than not, the result is less than desirable so your dog doesn't want to go near you, and then you say "cookie" and try to trick your dog.