Do I need to worry about threats like Regin?

Since the discovery of Stuxnet several years ago, there has been a parade of targeted malware (such as Flame, Duqu, Gauss and now Regin) that may have been created or sponsored by nation states. These complex threats have a dizzying array of functionality designed, at least in part, to spy on its intended victims. Naturally, such exceptional threats garner much media coverage. But as an average person or business, is this something you need to worry about?

Generally speaking, unless you have state secrets or provide financial or Internet services to someone who does, it is not likely that you will run across such notable threats as Regin and company.

Do I need to worry about threats like Regin?