Four winds? Unless you have other indications (direction of boom, light flash, mushroom cloud), go upwind. If upwind is an obviously bad idea, orthogonal to the wind may be better than downwind, especially if you cannot move fast.
For an extreme non-nuclear example, read http://en.wikipedia.org/wiki/Kaprun_disaster#The_disaster: "12 passengers from the rear of the train who successfully broke a window followed the advice of another escaped passenger who had been a volunteer fire fighter for 20 years, and travelled downward past the fire and below the smoke."
You may be hosed either way, but choices you make can have huge effects on your chances.
