Gas leak. What should we do / have done?

This can be a highly dangerous situation when the gas mixes with the oxygen in correct proportions and can spontaneously explode. The best thing, and the only thing to do is firstly cut off all electrical power to the lab or affected rooms, open all windows and doors and wait a day before entering the room again. By then all the gas would have went into the environment outside and the room would not be a timebomb anymore.

The best thing to do is to call the police and fire dept.

On discovering the leak, the building should have been evacuated/ not entered and the gas company called and the fire department notified. Nothing in the building should have been switched on OR off  including lights, fans etc. unless OK'd by gas/fire operative. No internal/mobile 'phones should have been used in the building. If it was safe to do so, using breathing aids if necessary the building should be entered, checked for personnel and windows opened, the gas/fire operatives to advise or do this.

There should be  staff members who are trained as a designated fire officers and/ or health and safety officers to put into operation previously decided and tested emergency procedures to cover such an eventuality, who should be called in if not already present.  The senior fire/safety person present should have a list of all the chemicals stored and any other fire/explosion hazards in the building ready to give to the gas/fire operatives, both by 'phone in the initial emergency call and when they arrive at the scene.

That's all I can remember from my days as fire/health and safety rep in a lab. It's not meant to be a comprehensive answer but hopfully will give you an idea of the minimum requirements.
The important things are: there should be a procedure laid down and trained staff to implement it (on every shift and in every department...security, maintenance. labstaff/managers etc.). Fire departments are usually more than willing to advise and assist with protocols.

I'm glad you are obviously OK but I'd be talking to my union/safety rep about this incident and be asking for the fire dept. to send their safety inspector down to assess the building and talk to management.
The MOST important aspect of all this is the safety of the workers and innocent people in the area, there should be a 'no blame' policy that ensures people are not so afraid for their jobs that they fail to comply with basic safety rules, but even if not surely it's better to risk losing your job than losing your life in an explosion!!!