A supernova would have to be within 40 Ly to be serious cause for concern. http://en.wikipedia.org/wiki/Near-Earth_supernova . At 26 Ly it's estimated that half of our ozone layer would be destroyed. Closer than that, and inverse squares is a real bummer.
It's probably happened once or twice in the last billion years. One of many candidates for causing a mass extinction. We do know that there are no candidates in our galactic neighbourhood at present. Betelgeuse is at a safe distance (good thing too -- we see a very unstable star in its last few milennia, so it's not competely inconceivable that it has already blown up and that we'll get to watch it in our lifetimes).