When Your King is in Danger: Do CPR!
When someone is in trouble (not breathing) in real life, you do CPR. In chess when your King is in trouble (it's being attacked aka it's in check) you also do CPR.
Three Ways to Get Out of Check
C: Capture the piece attacking your King. This is usually the best way, as not only do you get out of check but you get rid of an attacking piece!
P: Protect your King by putting a piece in the way of the checking piece's "laser". This is usually the second best way to get out of check as it doesn't get rid of the attacking piece but it somewhat neutralizes it.
R: Run with your King. This is usually the worst of the bunch to get out of check. The checking piece is still attacking near your King, your King has forfeited the right to castle (if he hadn't already), and your King is most likely more exposed after it runs. Some notable exceptions are: Your King runs but also takes another piece in the process. Your King runs into the corner after castling; where it is presumably more safe. Your King runs because Capturing and Protecting where only available at the cost of a more valuable piece (i.e. A Queen protecting against or capturing a guarded Bishop).
Below is a silly game that highlights what happens when you don't look for ways to capture or protect your King from checks. Also it really shows that, although you should check out all your checks (haha a nice pun if I do say so myself), there are some checks that are just not a good move.
