I was actually doing a job I had procrastinated on for some time, which was working in the file room, archiving some of my files (a BUNCH of them, it was going to be an all day job). Then I heard someone say that a plane had hit a building, and I thought they were talking about something local.
Then I found out the magnitude of what was going on. As the day progressed and we kept hearing how many planes were in the air still, Flight 93 was still in the air and not responding, and I said to my co-workers "we're going to shoot it down". They looked at me like I was crazy and said "they wouldn't shoot it down, there are innocent people on that plane". I said "sadly - they're already dead, either we shoot them down, or the terrorists will hit their next target".
Later, after we heard about it crashing in PA, it was confirmed that there were orders to shoot it down if it came to that.
Since I'm very near Atlanta, another major metropolitan city, many companies closed down for the day for security reasons and we were sent home early that day. I still remember it - Tuesday, September 11th.
I remember just being numb and in shock for the rest of the week, and when Saturday came around and I had time to be quiet - I was hit with a great sense of depression and cried the entire weekend in mourning for those we lost and the incredible sense of loss.