Are we talking about a nuclear weapon going off in your city or an all out "cold war gone hot" scenario?

In any case, the first sign of a nuclear blast is a blinding flash of light, at which point you should do like a 1950s civil alert ad and duck for cover. The shock wave should follow several seconds later depending on how close you are to ground zero. The shock wave from a nuke can topple a tank, so find the sturdiest damn thing around and hide behind it. If you're in a building, you'll have to be careful about stuff collapsing on you though. I'd assume that the best place for weathering out the shock wave would be in a basement/subway/underground whatever. I'd also block my ears to try and save my eardrums. The heat from a nuclear blast can go out for miles and travels at the speed of light, so you might be severely burnt (if not incinerated) if you are in the open before you have time to do anything at all.

If you survive the initial blast, which pretty much depends on how close to the explosion you were, then you'll have to try to limit any radiation exposure as much as possible. The radiation from a nuke comes from the microscopic fission leftovers of the bomb's uranium/plutonium, so an air blast would actually increase the irradiated area because the bomb's particles would be dispersed and then fall over the city, rather than being blocked by buildings/debris at ground level. The radiation always travels with the wind so you should be fine if you stay upwind of ground zero. After that I'd get as far as possible. No point in defending your house in a city that just got nuked, it's not like there's going to be anything left for you there.

If it's some kind of massive attack, then the military will know about it and have a small amount of time to warn the public. I don't know if they still have public fallout shelters in the US, but I'd just follow whatever directives the nuclear armageddon specialist dudes would give, they've spent a lot of time training for those kinds of scenarios. After that I'd try to leave the country as soon as possible before the fallout starts blanketing the countryside.