Every year for a dozen years our dog would get so traumatized by fireworks that you could literally hear her teeth chattering. We'd turn up loud music in the house, and make her a bed in a closet, but she'd still bolt out and look for anywhere where it was less noisy or safer (there wasn't such a place, but we couldn't convince her of that). She'd jump into the bathtub or claw her way into a different closet, only to bolt away to find a better spot at the next explosion. And neighbors would light off the occasional firework until like 2 or 3 in the morning. We couldn't go off and leave her. I grew to really hate the 4th.
She died a couple months ago, so I guess that's no longer a problem for us personally, but I know we aren't the only ones with sensitive pets.