If you're in the US and your phone starts squawking loudly this afternoon, don't worry, it's only a test.
If you have an important meeting or video call going on at 2:20pm ET today, you might want to turn off the emergency alerts, or just leave your phone in another room.
On an iPhone, this setting is under notifications, but you have to scroll all the way down to the bottom, after all the individual apps.
Here's something I hadn't considered previously:
Edit: I'm being told by way smarter people that even turning these notification settings off probably won't stop this test on your phone. But turning the phone off will.