I'm just gonna go ahead and say that most people, no matter how good hearted they think they are, would most likely pick a city rather than take the bullet. Probably doesn't work for absolutely EVERYONE, but most people have a drive to ya know.. stay alive? If that isn't enough, you are also deciding the fate of your family. I'm fairly certain that having a city that you've never heard of and have no connection to blown away would be much preferable to the loss of things you do have a connection to: Your life, and your family's life.
I would most definitely pick a city. It's not like the terrorists are forcing me to go out to that city and take a knife to everyones throat. It's impersonal and not being carried out by you, and most importantly would not be your fault but rather the terrorists' fault. You would be saving your family's life, as well as preserving your own. Now if the situation changed and you had to pick a city on home soil (say, your hometown), that would change things because all of a sudden you have a connection to the place that will be affected.
I would most definitely pick a city. It's not like the terrorists are forcing me to go out to that city and take a knife to everyones throat. It's impersonal and not being carried out by you, and most importantly would not be your fault but rather the terrorists' fault. You would be saving your family's life, as well as preserving your own. Now if the situation changed and you had to pick a city on home soil (say, your hometown), that would change things because all of a sudden you have a connection to the place that will be affected.