Sometimes that almost seems like the right course of action when you consider how dangerous the Universe is. The June issue of The Atlantic has a cover story about the dangers of asteroids and comets striking the Earth, something which may be far higher than previously thought. Even a hunk of rock a few dozen meters across could be enough to destroy a large city if it hit the atmosphere right. The article argues we aren't doing enough to track such objects and to find ways of dealing with them if we figure out one is heading towards us. And at least we have some chance of saving ourselves from them. One cosmic nasty I occasionally find myself musing on is the gamma ray burst. Should one of these ever be aimed at Earth when it goes off if it is close enough the results would be exceedingly nasty. Get a really close one and it's not your bed you'd want to hid under, but Mount Everest.
Of course hiding under the bed is silly. There is a one hundred percentage chance you will die of something sooner or later. It's much more likely you will get killed in a car accident when you go out for groceries or have a fatal heart attack from being overweight than an asteroid landing on Winnipeg with the force of a 1 gigaton nuke. If you're going to worry it is best to worry about things you can have a personal effect on than hypothetical megathreats. But it probably wouldn't hurt to write your political representatives and suggest they spend some money on watching space.