Drill presses can be spooky, that's true. I too have had a workpiece yanked out of my hand and spin around. Luckily, I turned the press off, ducked, and it slowed to a stop before anything horrible happened. Nowadays I'm a lot more careful about my drilling technique, and clamp down anything that might kick my butt if it does catch as the bit breaks through. So far, so good. Another technique for longer pieces, is to line it up so the workpiece is against the column; Either way, if it does want to catch and spin, the piece can't go anywhere and the bit will probably snap. That's no fun, but it's better than having things fly across the room or into you.
Chris, I agree that we must respect our tools, but not be afraid of them. Fear makes you jumpy, and being jumpy makes you foul things up.
Never ever EVER grab at something that's falling or otherwise out of control! Chances are, it's either hot, sharp, heavy, or all three. Kill the power (if applicable) and get the heck out of the way.