There are three threats that may force you to consider sheltering in place, chemical, biological, and nuclear dispersal device.

The first is a chemical agent and nerve agents are the predominant threat. Nerve agents are either persistent (VX) or not (soman, sarin, and tabun). Non persistent agents evaporate in a short time or simply blow away if a vapor. A safe room would provide the needed shelter for these agents. VX is a persistent agent and as such does not readily vaporize, so presents no vapor threat.

It is unlikely that a chemical agent could be effectively applied in an open urban environment by terrorists. These agents are far more effective in a closed system.

The Israelis recommend safe rooms to protect against the use of military weapons (ie missiles or bombs with chemical warheads).

Biological agents can either be contagious or not, that is be transmitted between people. Unfortunately, some agents, like Anthrax, are quite resistent to exposure to sunlight, etc. It is unlikely that sheltering would be very effective in protecting against most pathogens.

Radiologic dispersal devices spread radioactive materials that cause an increased lifetime risk of cancer for the most part, rather than cause a threat of immediate injury or death.

If an RDD is detonated, decisions would need to be made regarding acceptable levels of risk from exposure in regards to long term cancer risks.

Hope this helps.