Happened to me too, short final to BRU the Captain's windscreen shattered with a fairly loud bang - neither of us screamed!
My sector - so made sense for me to carry on with approach and landing which was uneventful.
Interesting part was taxiing to the stand as the ERJ 145 only has tiller steering on the Captain's side - doh!
And yes we departed back to base, empty as allowed for in the MEL, after being inspected by dubious Belgium engineer. Albeit we chose to fly back unpressurised at a low FL.