...At the risk of sounding sarcastic, I would think people in Australia have more than their share of stuff to put up with that are scarier than guns.
On a less jovial note, it's not really something that bothers me, as a citizen of the United States, and compared to the average citizen, I'm actually quite exposed; I take public transportation, I'm most active at night, and I'm not armed myself with any more than my body and an especially heavy backpack full of the stuff I make use of throughout the day.
I've heard what are probably shootings on rare occasions, and there are some rough parts of town here in Arizona (gang activity is pretty damn nasty in some parts of the greater Phoenix area, if you can believe that), but I've never felt endangered or at risk in my time anywhere in this country. Arizona is admittedly pretty tame - I wouldn't want to be anywhere near a place like Philadelphia or New York City, no disrespect to people who do live there - but that does bring light to the fact that you're including an entire country into your assessment, and a massive one at that, full of dozens of demographics and cultures, solely because someone somewhere might have a gun. It seems extreme.