I see three possible scenarios.
A) There have been several well documented cases where nuclear war was nearly started by accident, (including the story of Stanislav Petrov, that was made into a film "The Man Who Saved the World"), and I think we can safely assume it's probably happened many other times that we don't know about.
So there's an alarming possibility it could happen purely by accident.
B) A terrorist organization / rogue state, will eventually make one and have no qualms using them against their enemy. (How to make one is open knowledge, and USA / Israel certainly are "concerned" about Iran and went to a lot of effort to disrupted their uranium enrichment project, see fascinating story of Stuxnet)
C) If it's true there are hundreds of unaccounted suitcase sized nuclear weapons all over the world following the fall of the USSR, they could fall into the "wrong hands". Suitcase nuclear device
No doubt there are dozens of other scenarios that we have no knowledge, so I would sleep easy as we're probably have no idea and little control over what will happen.