One small correction to Glenn Anders' post above which stated, "You might also consider that, because of the Time Zones, the program was received in different ways across the Country." If this is intended to mean that the program was heard by audiences at different times that Sunday night, this is incorrect.
The Mercury Theater was broadcast across the country simultaneously in all time zones. See the newspaper listings at http://www.jjonz.us/RadioLogs/
according to which The War of the Worlds was heard at 8pm in the east, 7pm in the midwest, and 5pm in the west. The only way to broadcast a program at the same nominal
time in New York and Los Angeles in those days was to reassemble the cast and crew and actually re-perform the script again 3 hours after the live east coast performance. This was by no means unusual, but none of the networks did it for their Sunday night programming. Recordings ("electrical transcriptions") were rarely used in those days, and in fact most networks had policies prohibiting their use except in the most unusual circumstances, like the tragedy of the Hindenberg in May 1937. World War II effectively ended the bias against playing recordings on the air, but it was still very much observed in October 1938.
Across the country, the hour belonged to NBC Red, whose Sunday night ratings giant was The Chase & Sanborn Hour with Edgar Bergen & Charlie McCarthy. Anything scheduled against that audience favorite was considered a throw-away. Over at the Mutual network was a musical program with the WOR Symphony under Alfred Wallenstein--with the exception of its Colonial Network affiliates in New England that aired a paid broadcast by Father Coughlin instead. NBC Blue also had a musical program from San Francisco with Ernest Gill and his Orchestra. Not even all CBS affiliates carried the Mercury show, such as the Boston station which broadcast a local public affairs program instead.
There were some people on the west coast who claimed to enjoy the reactions of listeners there because they knew, from relatives in other parts of the country who had already heard the program in other time zones, that the show was a hoax. Stan Freberg in his autobiography "It Only Hurts When I Laugh" talks about sitting in a diner in Los Angeles smirking at the other customers who were taking the show seriously. The 62-year-old Freberg writing in 1988 might well remember what he wished
had happened 50 years earlier when he was a 12-year-old boy in Los Angeles, but he was demonstrably mistaken.