I've been in a number of squalls on smaller lakes, the Great Lakes, and Pamlico Sound on a Catalina 22 swing keel. Winds up to the 40's and gusts in the 50's on the small lakes and wind up to the 30's with gusts to the 40's on the bigger waters. My first tactic is to shorten sail, next is to reach, then heave to. I've never been in anything that warranted further actions, but I could also run under bare poles, or in places like Lake Erie or Pamlico Sound drop the hook (20-30' deep, little traffic, no land for miles).
Great information from everyone else, except I question the reference to sail under headsail only. I have never done this and have seen several discussions regarding unusual stresses placed upon the mast which could result in damage, perhaps even dismasting. Also, I have seen references to poor handling with headsail only. Please correct me if I'm wrong.
Thanks to all, Michael