When explosives begin raining from the sky, it's generally recommended that one find a sturdy, preferably covered, area to wait. Our friends at Oobject.com have some great examples.
Air raid vault uses chain of gas masks, 1939
Fallout shelter, cycle-powered packaged ventilation Kit (PVK)
Gas-raid shelter protects pet dogs
German Winkel Shelter Irony Failure This shelter manages to have a macabre irony on two levels - first, Winkel shelters looked like missiles, and second, this one now forms part of a kids playground.
London Tube Station Shelter during WWII Many of London's Underground stations were used as shelters, since unlike most subways systems the London Tube network is tunneled deep rather than cut and covered.
One man air raid shelter Used by firewatchers in the UK during WWII.
Swiss Zero Star Nuclear Bunker Hotel Until recently Swiss law dictated that practically all buildings have an underground shelter complete with blast doors and resulting in suburban dwellings build with typical Swiss over spec, including a shelter which would cost more than the average US family house, to build. These arty types have converted one into a zero-star hotel.
The nuclear family
Under-the-patio fallout shelter