Working in Germany and frustrated because I could not understand enough German to follow the news reports. (I knew one of the crew slightly, which made things worse)
Idly watching it on TV in my folk’s bedroom where I had wandered in to chat with my father about something unrelated. It was just on in the background and I happened to turn and watch it just before it blew. It was an interesting moment - I was completely confused for a couple of seconds afterwards before the enormity of what had just happened registered on my consciousness.
I was in class. At the end of class, I walked to the Student Union for lunch and on the way, passed two Air Force ROTC cadets who, as I remember, made a joke about it (although I didn’t know what had happened, so I didn’t understand it). In the Rathskeller, the projection TV was showing the news story about it, which involved repeated showings of the explosion.
I was an undergrad at Rice University in Houston. Specifically I was sitting in an electrical engineering class. A student came in late and out of breath and broke in on the professor:
“I’m sorry to interrupt, sir, but the space shuttle just exploded.”
The professor took a moment to process the information and replied:
“Well, if so, that’s a great tragedy.”
And then he turned back to the blackboard and continued his lecture for another hour! When he finally finished we all bolted out of class to find a TV.
It’s the early afternoon and I’m playing Buck Rogers on the Coleco Vision. We had the console set up in the kitchen. It’s a Tuesday but I have no idea why my butt is not in school. Teacher’s Planning Days were always on Fridays, IIRC. But this has to be the reason because I can’t think of an alternative (the check of Atlanta’s weather on that day indicates that it was unusually cold, but there wasn’t any snow).
So I’m playing my video game when suddenly my sister and a neighbor kid burst into the room and announce that the Columbia exploded. Immediately I think of the country. An exploding country certainly is tragic, but I’m kinda confused why a couple of nine year olds are so personally affected.
As they kept talking about it, I realized that they were talking about the space shuttle. And then we eventually learned that it wasn’t the Columbia (which had just returned from space a couple of weeks earlier), but rather the Challenger. A classmate’s uncle was on the shuttle, so the whole thing kinda hit close to home.
When the Columbia disaster happened 17 years later, I felt a sense of deju vu.
I was at work, we all went into the break room to watch it live. We all just stared for a minute and were asking what just happened? Very sad.
First grade, watching on TV with the rest of the elementary school.
Yeah.
I was hauling Theatre equipment from one closed movie house to storage, and had stayed overnight at my parents house. As soon as I saw the ball and the diverging contrails on the TV, I knew that things had changed forevermore.
I was a freshman in high school. First inkling I had was walking past a teacher’s office in the Fine Arts building. It was packed with kids all watching TV. It wasn’t until after lunch in German I that one of my classmates told me. He was kind of a smart-alek jerk, so I didn’t believe him at first.
Columbia. It disintegrated over Texas upon reentry because one of the wings had been damaged days earlier on liftoff.
They suspected the ship was no longer safe. Why the hell didn’t they inspect it while still in orbit and remain aboard the ISS until a rescue mission could be mounted?
I was working at Eastern Airlines in Boston. At the time, Eastern had hourly shuttles from Boston to New York and DC. Someone said “The shuttle just exploded” and I asked which one, thinking it was one of Eastern’s shuttles. We gathered around the TV in the employee lounge, several of us were crying. 
Terrible day.
I was 7, and in the Second Gradein Lake Oswego, OR. My memories are odd about it. I remember the whole school gathering to watch, and I remember seeing it live on TV, but I also remember being separated from the rest of the kids at one point for reasons I don’t remember. I think I almost missed it, but got back just in time.
I’ll always remember the booster rockets flying around, and the schoolyard rumors of body parts floating in the ocean (more true than I realized).
I was home from school sick that day and saw it live. I didn’t understand it exploded right away. I thought it was on fire and went off course.
I wasn’t in school yet; my Mom says we saw the explosion on TV, but I don’t remember it. For some reason, I do remember going to my dad’s workplace later that day, and seeing the flag at half staff. Someone asked me if I knew why the flag was like that; I told them it was for the astronauts.
I was 18, and visiting my grandparents. My papaw liked watching the launches, so he came home for lunch early that day. I remember that because we were scrambling to get his lunch ready. (He like a full, home cooked meal at lunch).
I had married about 3 months earlier. It was the last time I stayed with my grandparents on my own.
[ul]
[li]Shuttles, at the time, were not equipped to inspect their own heat shields.[/li][li]Several Shuttle missions had sustained damage to the heat shield (STS-27 was probably the worst) and all had returned home. This gave a false impression of safety.[/li][li]Columbia’s last mission didn’t involve a visit to the ISS (and if you didn’t aim for it at liftoff, it’s physically impossible to reach it).[/li][/ul]
I was sitting in the bathtub. I was five. My mother watched it happen on the TV in the kitchen. She yelped and I asked her what happened.
I was a junior in high school. It was a snow day, so we were all at home. I was napping in my room when the phone rang and woke me. It was my mother’s friend calling to tell us to turn on the tv, the shuttle had just exploded.
I was (apparently) a few blocks away from Snowboarder Bo, in Sunrise, FL. Home sick from school.
I was sitting in a graduate level class on carbohydrate chemistry. Another student arrived slightly late, and said the Space Shuttle had exploded. The class went on as scheduled, and it was only several hours later, at the graduate student union, tht I saw the news replay of the launch and subsequent explosion.