...The Fourth of July and nearby days (and probably all of July and August really).
That means fireworks and that is one of the few outright fearful events left, largely because of how infrequently encountered they are. Literally, just once a year. No way to do much classical conditioning to reverse that association and nowhere near enough for habituation. So we go through this every year. Poor Wally.
This year, I used some pieces of grilled steak and sausages - really top-value stuff for him. I took him out and on a usual route we walk. Sure enough firework sounds were going off, some sounding like a mortar just fired off. I bet to him it did sound like a war zone.
Each time he looked at a sound, I marked and give him a bit of the reward. Pretty much using the "Look at That!" game mentioned in Control Unleashed to help him. Of course, ideally, I'd do this constantly but this is something that's pretty much random and may or may not happen on our walks now that the Fourth itself has passed. It's just a matter of if there's any "leftover" fireworks being used. When they are, I use this and, of course, have good value treats that can "cut through" his fearful energies (which will keep him taking the treats instead of the fearfulness shutting off his appetite as well as not being able to focus by sight of the treat, but the scent can capture him).
For the most part, it went pretty well. He was still very nervous and showed all the signs (tail looks like it got cut off, lower height, skittish, choppy steps instead of his usually 'strut' or 'bouncy' steps, constantly scanning around obsessively), but he kept taking the treats and the scent did indeed capture his attention. He gulped them down like he had to eat-and-run (another sign of being very nervous), but he kept eating them and they did help him focus more on me and what I was doing.
Overall, he really held it together well, considering what was happening around him. He stayed close to good position and stayed near me. He did his business, even if it took him some distance away from me, and he never completely "zoned out" on me. It was just harder to grab his attention.
Luckily, it's only once a year and he's overall a more confident dog and that we've built some trust up over the years, so he believes I'll protect him and he sticks close by when he gets scared. Much better than him trying to bolt and risking choking himself, that's for sure!