You lock into (become entangled with) a random selection from a superposition of states, according to the probability described by the wavefunction at the time. What the deal is with the other states you don't see is a matter of interpretation, e.g., Many Worlds hypothesis.
Or how about this gem: “If you look at these tax deductions for employer-provided health or for state and local taxes or mortgage-interest deductions, they’re really subsidies to the affluent, which I guess I hadn’t thought about them.”
Something like Many Worlds is necessary to explain what it means for something like a wavefunction to collapse. Although it may multiply entities, that doesn't mean that it does so unecessarily. The trade-off is that new physical laws aren't introduced when doing so, and with other theories, you can say that introducing new laws is unnecessary, with respect to Many Worlds.