Apollo 1 - I was in Grade 4, living in Regina. I don't think as a 9-year-old I was able to fully appreciate what a tragedy it was. Became a space nerd a couple of years later and bought the used LIFE magazines from the day. The disaster rated back-to-back cover stories.
Apollo 13 - Grade 7, still in Regina. My parents woke me up perhaps around 11 or midnight to tell me that an oxygen tank had exploded and that the astronauts were in serious danger. (Glad this one at least had a happy ending.)
Challenger - I was working the evening shift at Northern Telecom as a test tech and so had mornings off. Mid-morning I walked over to Woolco at a nearby shopping centre. When I walked in the whole store appeared to be deserted, but then I saw everyone clustered by the TVs at the far end of the store. Walked over, asked what was happening, and someone said, 'The space shuttle just exploded'.
I'm a bit of a history nerd and have a good head for dates, and often added a bit of random trivia to my daily timecard. The night before, at the end of the shift at midnight, I'd added something like '19 years ago, on January 27 1967, Apollo 1 astronauts Gus Grissom, Ed White, and Roger Chaffee were killed when a flash fire swept through their spacecraft'.
Anyway, the next day when I arrived at work for 4 PM the timecard guy looked at me like I was a prophet.
Columbia - I was driving to work on the Saturday morning to work a bit of OT. Turned on the radio, I think CBC, and they were talking about the space shuttle disaster. I figured they were rehashing the Challenger disaster of 17 years before - was absolutely shocked when I realized they were talking about the Columbia!
I remember a couple of Soviet space disasters (Komarov on Soyuz 1 in '67, and the three cosmonauts in June '71) too, but they didn't affect me as much because their flights got much less coverage here.