My late Dad was 14 at the time (1939), and said his father loaded the shotgun and sat in his rocker next to the radio. I still have the chair and firearm.
Something I already knew from other sources, this time Cracked gets it right about the “panic” the broadcast caused;
http://www.cracked.com/article_18487_6-ridiculous-history-myths-you-probably-think-are-true_p2.html
My mom was also a teen that day. She said they didn't happen to be listening at the time, but a neighbor came running over, terrified! She never did forget how frightened that man was.