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As far as I know atmospheric pressure is the result of the weight of earth's atmosphere. It has an approximate value of $10^5 Nm^{-2}$. Then why I can't feel it? My physics teacher told me that we are used to it. If that is so then why I can't feel the lack of pressure under a roof or in a closed room?
A side question: Does atmospheric pressure act equally in every direction like air pressure? To my guess it shouldn't. Because it is caused by its weight.
Yes, atmospheric pressure is primarily caused by the weight of the atmosphere above you. This is why the pressure decreases as your altitude increases.
A fluid (like air) under pressure exerts equal force in all directions while at rest. [Side note: Technically it exerts slightly more force downwards because of gravity. However, this effect is only noticeable on scales much larger than what we are dealing with here, so I ignore this effect in this answer.] So the air at ground level pushes equally on the ground beneath it and the air next to and above it. This is the pressure that you constantly feel. Now imagine yourself in a gazebo - a roof above you, but with open sides. Clearly, the air pushes on you from the sides. But the air above you is also pushing down on you with the same force per area. Why? The air above you is being pushed on the sides, which means it is under the same pressure that you are. It pushes back against the air compressing it from the sides and pushes in the vertical direction, both up, against the roof of the gazebo, and down, against you.
While rooms have walls, they are not airtight, which means that air can flow through them. If the pressure inside the room is different from the pressure outside, air will flow to "balance out" the pressure imbalance. In effect, any room is like a gazebo - the pressure will remain basically the same inside and out if nature/physics/entropy is allowed to run its course.
That being said, if you are willing to do some work, you can change the pressure inside a room - see
http://en.wikipedia.org/wiki/Negative_room_pressure
and
Atmospheric pressure and air pressure are the same thing.
Atmospheric pressure occurs because molecules have mass and therefore weight in the presence of a gravitational field like the Earth. Earth has enough atmosphere that the cumulative mass of a one square meter column extending from sea level all the way into space (about 160 km up) is about 10,000 kg (weight i.e. exerts a force of about 100,000 Newtons). At the very top (about 160 km up; beyond this point there isn't enough to have any meaningful effect) it's just a few molecules whizzing about, but as you descend to the surface, the mass of air above and therefore its weight and consequently the pressure adds up.
Because air is fluid, this pressure is exerted in all directions, not just downwards; atmospheric pressure occurs because of the downward force due to gravity, but is exerted in all directions because it is a fluid. This is why you don't feel it acting directionally downward from above.
You can't escape atmospheric pressure by simply walking under a shelter, because, again, air is fluid and exerts its pressure in all directions. You can't escape it simply by entering a room and sealing it off because the room is already full of air at the ambient pressure. To escape air pressure, you must either travel above the atmosphere into space, or remove all the air from a sealed container.
