Fight off panic -- don't become hysterical and over-excited. If you are over-excited, you will end up hampering the rescue operation as well as your own safety. Get a grip on yourself and draw as little attention to yourself as possible. If you're not very noticeable, you may be in a better position to do something positive, like signal to someone outside, or even escape.
View most people with suspicion
A more general piece of advice is to view most people with suspicion. This is something we are taught in the army. We don't trust anyone, unless their identities are known to us. If you're at any social gathering or event, watch out for any suspicious behaviour around you and alert local authorities at once if you notice something.
Be our eyes and ears
In case of any suspicions, report to the police immediately. Most citizens consider this a headache, but you have no idea just how much a civilian report helps us. As part of the general public, you have access to all the nooks and crannies of the city. Make sure that your report is timely and accurate -- you'll be surprised at what violence it can prevent. Please be our eyes and ears.
Also see: 'I would support compulsory military service'