In most locations it would be to shelter and wait for police and officials to takencharge. Despite all the talk and bravado that's what most likely happens because if you act to protect your self or community then the fist of the almighty state will come down on you.

Even our military bases have been pussified to the point where soldiers cannot be armed. Reference Ft Hood.

It would be nice to think we could act but our overseers would condemn and target those folks more aggressively than terrorists.