In many cases, contractions begin before your water breaks, so you'll already be in the hospital (and it may be broken for you sometime during labor). For some women, it breaks in the middle of the night while they're sleeping. And others may wind up being induced (and don't have to worry about labor starting when they're not quite expecting it).
What's more, when your water does break, it's not always a dramatic gush. Sometimes, it's such a slow leak that many moms-to-be don't even realize it's happened.
But if your water should break in public, there's not much you can do about it. You should call your doctor and let him know. He may have you head to the hospital (if you're also having major contractions or if there's meconium -- your baby's earliest poop -- in the fluid), but you'll probably just be sent home and told to ride it out until contractions start coming, which should happen within a few hours. And get excited -- it means you're almost ready to meet your baby!