Bang! Fireworks can upset pets in many ways.

Do you constantly worry about your pets during firework displays close to your home? Do you fear you may come home to find that your pets are unhappy or, even worse, dead because of the extremely loud noises? If you can't ask for quieter fireworks, you will have to do the best you can to comfort your pet.

[edit] Steps

Lock your doors and close all your windows. Countless pets are stolen every year during the firework displays if they are left outside or in an unlocked house. Also, it will help dampen the noise.
Put your pet in one, safe, comfortable, closed room, even if your pet is caged. It will keep it from running about the house and injuring itself, wrecking furniture or being scared. Make sure the room has a cosy place for your pet to sit, such as a blanket in a corner, and it is warm. If your pet is a horse or other farm animal, make sure it has clean bedding and is inside the stable or barn.
Keep some lights on. Keeping a light on will calm your pet and make him feel more secure, rather than being scared in a dark room.
Make them feel cosy and protected. If you have a dog, cat, etc., a nice soft bed will help. Many dogs and cats will feel more comforted if you place the bed under a table or behind a chair, in a corner, etc. And let them hide if they want to; it's their way of coping.
Dampen the noise. Close the curtains in the room and, if your animal is a caged one, cover up the cage in a thick blanket, but make sure it is breathable so your animal doesn't suffocate. These steps will also help to stop the flashes of light affecting your pet. You might also try drowning out the noise with stereo music or the TV, sounds that are more familiar for your pet; just make sure not to play these noises ridiculously loud.
Provide water and food. Many pets will be very frantic and uneasy. If they have water it will help calm them, and food at its regular portion will make the pet feel like it is a normal day.
Add some soothing sound. If your pet is used to music, turn some on at normal volume. Also, the sound of rainwater is very soothing to pets.
Give your animal something to distract it. This could be a new or interesting toy, a chew bone, etc.
Use lavender. This is optional, but you can use lavender scented items as it may calm your pet. You can use a spray or gently bruise the leaves and flowers of some fresh plants. Just make sure that it is out of reach of your pet. Using heated scent oils or incense is not recommended as a frantic pet can knock them over and start a fire or injure themselves.
Stay with your pet. Comfort it and talk to it. If this is not possible, because you are out or busy (you may be at the firework display), don't worry - the previous steps should comfort your pet enough. If it wants to hide away, let it - don't fuss over them too much.
Keep comforting your pet after the fireworks. Make sure to calm it down and remove the protection (blankets etc.) as long as you are sure that the loud fireworks are over.
Keep your ID and other tags up to date. If your pet does go running off, it is much easier to be able to identify its ownership with these features.

[edit] Tips

Act normally and calmly around your pet. Giving off nervous vibes will not help.
If your pet is litter/pee pad trained, place those in there; it's not a good idea to let your pet pee everywhere!

[edit] Warnings

Don't leave a pet outside, as it will be incredibly loud out there.
Never let off fireworks next to or near your pet.
Be careful about what you put in the room if you are going to be leaving the pet alone in there. Don't put a fire on to keep them warm, as it is a hazard. Also, don't put any sharp objects or things that could hurt the pet in there.
Make sure there is nothing valuable in the room if your pet is likely to break/damage it when scared.
If you give your pet a new toy or chew bone, make sure it is "indestructible" so that your pet doesn't choke on little pieces while you are gone.