I know exactly where I was when I heard the news.
We, my friends and I, were playing stick-ball on an empty lot across the street from one of my friend's house. His mother came out of the house and yelled the news over to us----after hearing it on the radio.
The game stopped out of respect, and we all (sadly) went home.
Not that any of us kids had seen him play; he retired in 1935.... but it was the older folks, and media, who put us kids in awe of "The Babe" with their stories about his baseball feats, and "off-field exploits."
Even at Mass, the following Sunday----prayers were offered up for him.
Towards the end, no longer the talent he was, and playing for the Boston Braves.... a week before he retired, he did hit 3 home runs in one game vs. Pittsburgh, at Pittsburgh.