When I pet my dog in the winter and get shocked, is my dog getting shocked too or is she ok?
Yes , the dog gets shocked too. They may fell it, but they are OK. This happens when I stroke my cats, and they definitely fell it if the spark is near their nose or face. I call it the sparky season.
Your dog may be shocked too. The reason why you are shocked is probably that your shoes have insulated you and you have built up a slight electrical charge on the surface of your body, as a result of electrons that rub off of surfaces (either your surface or the surface of some objects you handled). Your dog's paws are not so insulated, and so your excess charge, whether + or -, can flow through your dog to "ground," neutralizing your charge but shocking both of you.
When a lightning strikes your house, does the cloud catch on fire? NO> There is directional force in a strike. One strikes, the other gets struck. Update: One cannot rule out the possibility of a charged dog shooting a spark at you. Wouldn't think the dog knows it.