Dogs are more sensitive to sound than humans are. Sounds that can barely be heard by us at a given distance can be detected by dogs that are four times as far away. So there is no need to shout.
Dogs can also hear a higher range of frequencies, which means they hear sounds in the ultrasonic range that we cannot detect. In the wild, this enables them to hear small prey such as rodents, which communicate in squeaks at a very high frequency. This ability explains why dogs can respond to dog whistles while we hear nothing.
Some breeds of dogs such as Collies - which have been bred to hear a shepherd a long distance away - have more sensitive hearing than others. This explains why they have phobias about thunder so easily. If these noises sound loud to us, imagine what they sound like to a dog.