There's an interesting article on Io9 about surviving a low-yield nuclear attack on your city. "Low-yield" here means in the 0.1 - 10 kiloton range that a terrorist might improvise, rather than the megatons a serious government could muster.

The timeline seems to be, first a bright flash. A shockwave follows some seconds later, because it travels more slowly than light. It can shatter windows, so don't go look out of one when you see the flash. Then there's some minutes of intense radiation. This fades quickly, and after about half an hour it can be worth moving out to seek a building that provides better shelter, if you know of one. At this point you're avoiding fallout. The worst of the fallout will have a relatively short half-life, and after 24 hours will should be safe to go outside for evacuation. Ideally, wait for emergency responders who will have better knowledge of fallout patterns and safe evacuation routes.

There's more detail in the article and linked paper. Perhaps the key point is that such incidents are survivable, as long as you aren't too close to ground-zero.