Well, yeah, it's obviously best to get the heck out of there if you have any kind of warning. I left a bar early just last night because things looked questionable. The situation I'm thinking of is somebody opening fire without warning. A lot of bars are kind of tight, so you could have multiple objects to jump behind...
I could see using a bouncer like spacemanspiff as cover, but not all security dudes offer that much ballistic protection.