We have lockdown drills at my school, along with normal fire drills and evacuation drills (everyone in the school gets split alphabetically and sent to the three other schools on the block).
At my sister's school not only do they do lock down drills and extensive evacuation drills but they have duck and cover (hide under the desk essentially), reverse evacuation drills (everyone off the playground and into the school fast), and some other drill where they close off all the vents and windows in the building from potential biohazards. I should add that we live in a really small town, and unless some sort of terrorist attack happens here there is little chance of biochemicals in our air.
I was trapped in school for several hours back 3 years ago when we had a lockdown. Nothing was scarier, even in 8th grade, then to see the SWAT team, state police, FBI and town cops walking up and down the halls, and to know exactly why the teachers were scared. There were "threatening" messages that came over the walkie talkies during lunch recess. In the end they turned out to be kids playing war games at home, on the same frequency of the school. But knowing that I was in a classroom with a glass front, and that there actually was a suspicious man outside (he was actually mowing the lawn in the cemetary behind the school, but since he took off into the woods with his lawn mower as soon as the cops showed up he was pretty suspicious), and not knowing that the intercepted stuff was just games made it a very scary experience. At the time I wished we had practiced that all before. But since we hadn't, it was a new experience and frightening. Needless to say I'm glad so many schools are doing these drills. It's a lot less frightening to know what you need to do then it is to have no idea what's going on. And the school that my sister goes to still, where this happened is R-8. So there were some very young kids in that school.