It's not really a big deal, don't be leary of chains!
Sheldon Brown has a great bit on his website explaining (in non-techy language) how shifters and derailleurs and chains work. http://sheldonbrown.com/beginners/index.html There is a ton of good info in other parts of his site, so explore around.
I've only dropped my chain on Flossie once, when the derailleur was out of adjustment after the LBS reassembled her when I got her. Flossie is a double (two chainrings in front. With the 8 cogs in back that gives me 16 gears.) I think I dropped the chain on my commuter once when I was riding around in a soccer field practicing with my clipless pedals. My commuter is a triple (three chainrings in front. With the 8 cogs in back that gives me 24 possible gear combinations, but you don't actually use all of them.)
When a chain misses its ring, it's pretty easy and quick to put it back on. Just kind of messy. When you buy your bike (or as you are test-riding bikes) tell your LBS about your dropped-chain concerns. Ask them to "drop" a chain, show you how to put it back on, and let you practice a couple times.
If you were near me, I'd say come on over and we'll take my bikes out and drop some chains! Generally if you shift while just twirling the pedals rather than pushing on them (let up on the pressure you put thru the pedals so chain can shift over to another ring without trying to put power thru that ring at the same time) both bike and you will be happy!