I used to live somewhere that would have been well in the range of a first strike. School had us drill for a nuclear strike situation and we had to learn all about iodine pills and the like, but it wouldn't have done anything to save us unless maybe if we were in the same building as a fallout shelter already.

Definitely a macabre sort of comfort. No suffering, would probably just have been a burned in shadow.

Unfortunately, that's only the case if you are close enough to a target and sufficiently unprotected.

Depending on the nature of the nuclear strike, there are plenty of targets, though. Counter force strikes aim at military infrastructure. Any large and/or strategically important military installation is a target in that case. Depending on the kind of weapons used, hardened underground military targets might be subjected to significant overkill, old school nuclear "bunker busters" from before they figured out how to make nukes robust enough to survive being delivered in a ground penetrating bomb, for example, worked by soft-landing a ridiculously oversized thermonuclear warhead (in the high single too low two digit megaton range, to see the effects of something like that, select a W53 warhead on nukemap and set the burst height to "Surface") on top of the bunker to be attacked via parachute, so the small portion of its energy that gets transmitted into the ground when it detonates on the surface would still be enough to destroy the bunker underneath. Counter value strikes aim at really any important infrastructure. Targets can be things like major transportation hubs and industries, which you will find plentiful in any larger city.

Indoors, in sturdy buildings, especially underground, you have relatively good chances of surviving the initial blast at surprisingly small distances, as the human body is quite robust. So without knowing the target(s) and having no advance warning of an attack, and a general idea of the type of weapons and delivery method to expect, unfortunately, you have good chances of at least temporarily ending up as one of the living who will envy the dead.