At the school where I teach, we do a fire drill once a month. We have 2 lockdown drills each year: one announced and one that's a surprise to the teachers and students. Our tornado procedure is very similar to the lockdown, so it doesn't get its own drills.
Our school has promised to have a drill at a time when it's "not convenient" this year, such as during passing time between classes or during lunch or an assembly. Part of me thinks, "Ugh -- what a bother." But there's another part of me that thinks it would be a good idea to work out the kinks in a drill so that at least people have a clue in the event of a real emergency at an inconvenient time of day.
Ten years ago, one of the DC Sniper shootings happened about a 1/4 mile from my school. Ugh. That was a really fun time to be a teacher. It was really stressful, but it really hammered home the need to take security seriously.