I'm in Pittsburgh, and they are everywhere. Have you ever seen a place overrun during a cicada emergence? There's about that many. Every time I take a half-hour walk around the neighborhood, I kill at least 10, sometimes 50 or so. I've noticed that they like dark things/places and humming noises, like power poles with transformers on top and rail stations.
My strategy: approach them from their front and stomp on them. They like to jump forward, so coming at them from any other direction is less successful.
I figured that I would find one inside my house at some point, and found a dead one under the dining room table a month ago.