Same here. Shelter is probably THE #1 thing to make sure you have - even before food and water. Yet, it's probably one of the harder things to accomplish.
There are ways around it, tho. Check out a book called "Nuclear War Survival Skills". I think nitro-pak.com has it, and you can find e-copies on the 'net. There's a lot of info in there on what to do for shelter, including arranging things in your basement (per FEMA), digging a fallout shelter outside, etc (neighbors might look at you kind of oddly, tho).
I've been considering finishing one of my rooms in the basement with solid cement block walls. (Cement provides great Rad protection). This is a tad expensive, though, as I have to hire a brick mason type guy, and the material is HEAVY! From there, you can create a positive pressure difference with one of those contraptions like americansaferoom(s?).com sells - this could keep out bio, chem and nuclear. All in all, a pretty safe solution. But, I wonder if it is "overkill". And, it only does you good if you can get from work (or wherever else) to home when TSHTF.
Short of shelter, three things I'd HIGHLY recommend getting:
Of course, it is imperative to have all of these things with you at ALL times, or else they do no good..
This won't totally protect you, but you'll know when to get the heck out of dodge, and will give you a much, MUCH better chance of survival than 99% of the others who haven't been so attentive to preparation.