If you name it and he can recognise it, it isn't scary anymore.
My theory is that Elijah's greatest fear is the fear of the unknown, so I've been conscious of making him aware of what makes loud noises and helping him to aurally identify them. He can tell the difference between a car, truck, motorbike, bus, plane and lawnmower just by listening to the sound it makes. He does get other gardening equipment confused with lawnmowers, but that's no big deal.
Yesterday, we had a massive storm start around the time Elijah was due to wake from his nap. The thunder was really close. I went in to check on him and saw him lying in bed, listening to the storm. He looked at me and said, "Thunder! Boom, boom!" He seemed content to just lie there, so I left him alone for a few minutes.
Suddenly, there was the mother of all thunder claps right over our house. A wailing came from his bedroom. I rushed in to see him sitting on his bed, hugging Eeyore for dear life. I held him tight and said, "It's OK, Elijah. That was just big, noisy thunder. Was it scary?" He cuddled in to me. Within a minute or so, he was fine. "Big, noisy thunder. Scary!" he told me. Yes it was.
But he wasn't scared any more.