Nuclear attacks could occur through terrorist events or enemy country attacks. The result of both is mass devastation, although both are extremely unlikely due to nuclear anti-proliferation efforts. The difficulty of moving weaponized radioactive isotopes in conjunction with the difficulty of weaponizing radioactive isotopes makes terrorist acquisition of weapons next to impossible. The most likely situation would be that terrorists acquire an existing nuclear weapon rather than developing one like an enemy nation. Even then, the delivery system would prove extremely challenging.
To prepare for the unlikely event of a nuclear attack, proximity to terrorist and enemy nation targets should affect your planning the most. The targets a terrorist cell may target include but are not limited to large, live events such as ballparks, festivals, parades, and malls. Terrorists may also target military targets similarly to enemy nations. Prevalent winds should be considered since high yield nuclear weapons can have fallout land hundreds of miles downwind. Leaving a fallout area is preferred. Sheltering in place for a nuclear blast or fallout may also be necessary if you are in close proximity.
Image: Primary targets for Soviet nuclear missile strikes in the 1980s. The dark zones indicate lethal doses of fallout, whereas the yellow is mostly untouched. Obviously, targets have probably changed since then but this gives you an idea of what an enemy nuclear strike may target.