I think the absolute worst feeling would have to be the feeling the people on the NYC subway went through when Colin Ferguson started shooting. Imagine the helplessness of being on a subway train with no real way to fight back. At least people in these places had a chance to run. Whether they took it or not is their fault.
Seen it posted here a hundred times.
Better to Have a Gun, and Not Need It, Than to, Need a gun, and not Have it.