What to do if you see a UFO? Well for one, try not to panic! Secondly, half of people would go get a camera or something, if it is close enough for you to believe that it is a UFO well the other half would just go hide.
The best thing you can do is stay calm, look carefully at it to make sure if it is a UFO; you don't want to make a fool of yourself do you? Now if you tried to contact the authorities they most likely would view this as a hoax so what you should do is note the time that it was sighted, rough altitude and location in the sky. This means that if other people have sighted it then you have a collection of data which should hopefully match other people's sightings.
Now if you own a camera or some other recording device it is probably best if you try to get some visual evidence. REMEMBER! Take the lens cap off, make sure its in focus and ensure that your pointing it in the right direction. Nothing shouts hoax more than a blurred picture, the edge of the 'UFO' in the picture. The lens cap well... If it is a real UFO and you manage to take a picture only to realize to your dismay later that you left the cap on, you will kick yourself for the rest of your life.
What to not do is panic, spread mass hysteria or do anything extremely stupid that will involve you spending the rest of your life in an asylum. Under no circumstances do you look up, see said UFO, and then run for your shotgun / firearm. What will that do for one?
If in the event of you sighting a UFO landing, take note of its location and inform the authorities. As long as you are confident that it is a UFO the authorities will generally check it out just on the basis it may be an illegal transport entering into the country. However if it turns out that it was nothing in the end you may end up being prosecuted for wasting their time. This could involve a fine or worse, a prison sentence if you keep repeating it.
Look to the sky and wonder what is out there. It's a large universe so there is most likely something out there, so you never know, you may sight a real UFO one day. Don't panic and remember that lens cap!