See that "highest-risk" patch in Connecticut (the square thing to the right of New York)? That's where I live. :-)
Over here, the terrain means they both appear and peter-out quickly, and few people know the risk is that high. But every once in a while, you'll hear about a lucky winner, sometimes on the order of a single house, or half of one.
I'd wager being in a basement, under something that'll protect you from collapsing structure is probably best, but that involves getting some warning. Also, let it be said that the 'run around opening windows' thing is now known a myth, or at least an officially bad idea when you can use that time to go take cover.
