I don't but have a dear friend who does. Some times it will scare her so badly she wets herself.
If it is something you can predict have to tried the ear "muff" things they use in shooting? I know it doesn't totally block out the sound but it does muffle it. My son uses them because he is sound sensitive. I borrow them when I have a migraine and my cat sneezing sounds like a bomb going off to me. Even the little plugs that go in your ears might help and people can't see those.
Most people, if they admit it or not, do jump to some extent. I was a competitive marksmen and runner in high school. I had a real advantage coming off the starting line because I was the only one who didn't jump first when the starting gun went off.
I too learned not to be scared of thunder storms by counting the seconds between the flash and the boom. Now, against my better survival instincts, I can often be found out side in the middle of them trying to get a picture of the lightening.
Now, I am not above locking myself in the closet with a valium and a pillow over my ears if the neighbor kids are playing loudly outside... so don't feel bad!