There's an interesting article on the rise of radio news in the United States in the late 1930s, in the February 2006 issue of History Today: "On the right wavelength" by David Culbert. One thing I learned from this article was that it was the Munich crisis in September 1938 which made radio news reporting respectable (not unlike how the Iraq invasion of Kuwait and the first Gulf War made CNN's fortune). Before that it seems that in America, radio news was not taken very seriously; but CBS's virtually round-the-clock live reporting of the events in Europe was listened to by millions, and for the first time radio became the preferred news source for most people.
Then in a throwaway line, almost, Culbert links this to the famous Orson Welles broadcast of H. G. Wells' The War of the Worlds, which took place at the end of the following month. This was done as a mock live newscast, reporting the news of the Martian invasion of New Jersey, and "Some listeners, presumably those who tuned in late, apparently ran from their homes in complete terror. It was felt by many that such fears were related to residual concerns about radio's round the clock coverage of the Munich story". (It should be noted that many accounts exaggerate the degree of panic that occurred -- it's not like millions or even thousands of people headed for the hills. That some people did panic, however, is undeniable.)
This suddenly made the usual explanations for the panic that I've read a lot more sensible. It has often been suggested, for example, that the people scared by the broadcast didn't actually think that the Martians were invading, but rather that the Germans were, and the Mars thing was a mistake or a subterfuge. As one of the listeners reported:
The announcer said a meteor had fallen from Mars and I was sure he thought that, but in the back of my head I had the idea that the meteor was just a camouflage. It was really an airplane like a Zeppelin that looked like a meteor and the Germans were attacking us with gas bombs.
Quoted in Robert E. Bartholomew and Hilary Evans, Panic Attacks: Media Manipulation and Mass Delusion (Stroud: Sutton, 2004), 54-5. Italics in original.
But I could never understand quite why Americans would have such an intense fear of Germany -- it's not like the situation in Edwardian Britain, where the German threat was an order of magnitude more plausible at least (though still exaggerated), and was intensively rehearsed in the media for a decade.