Basis survival skills will tell you that shelter is the number one priority for survival.  In the case of a nuclear war it protects you from the blast, heat and radiation while in a Super Volcano it can protect you from the hot ash and provide you a safe place from criminals.

A survival bunker can be something as simple as a room in your home or as complex as a multiple room under ground complex.  The most important thing is to take the time before a disaster strikes to get your bunker ready and keep it well stocked.