On the map, I see several have happened in my neighborhood (SE Idaho), but I don't think they amount to much. A few years ago, there was one about 5 miles from me. It only lasted about 5 minutes and did no damage except tipping-over an 18-wheeler.
I've never been much afraid of natural disasters, although I've never experienced a bad one. One day in California, I was in a phone booth talking to my girlfriend when the booth started rocking. I just laughed and continued talking.
I may become more frightened if I were in a bad quake, but I know it still wouldn't scare me like people scare me.