F.U.B.A.R.
Bluelight Crew
100% I would. I run toward danger. I trained for 4 years with former Special Operations guys (mainly SEALs and SWCC) before joining the Navy with a SEAL contract. In the 4 years, we did physical training, CQB tactics, hand to hand combat, etc. etc. It was like I already completed SEAL training in that amount of time I trained with them. Wanted to be a SEAL since I was 8 (started having seizures and got discharged). That's the type of stuff I wanted to do. I still wanna be in Special Operations, but the military wont accept me, even though my seizures are 100% controlled.
As for "some hero stepping in with his concealed weapon to stop an atrocity", ive personally never had the oppertunity. Cant talk for anyone else though.
Well that's a bit different mate. You're a highly trained professional, not just some random dude with a gun fetish.
The only 'hero' story I can think of is this one:

SAS hero led charge into Kenya hotel to kill terrorists and save victims
A LONE SAS man was hailed a hero of the Kenya terror siege — after storming in to wipe out attackers and save civilians. He was in the country training Special Forces when news broke of the gun and…

4 terrorists attacked a hotel in Kenya, killing 21 people and took hostages. Unluckily for them, there just happened to be an off duty member of the SAS nearby. He quickly took control of the situation, single handedly took out all 4 terrorists and led the hostages to safety.