Precise segmentation of out-of-distribution (OoD) objects, herein referred to as anomalies, is crucial for the reliable deployment of semantic segmentation models in open-set, safety-critical applications, such as autonomous driving. Current anomalous segmentation benchmarks predominantly focus on favorable weather conditions, resulting in untrustworthy evaluations that overlook the risks posed by diverse meteorological conditions in open-set environments, such as low illumination, dense fog, and heavy rain. To bridge this gap, this paper introduces the ComsAmy, a challenging benchmark specifically designed for open-set anomaly segmentation in complex scenarios. ComsAmy encompasses a wide spectrum of adverse weather conditions, dynamic driving environments, and diverse anomaly types to comprehensively evaluate the model performance in realistic open-world scenarios. Our extensive evaluation of several state-of-the-art anomalous segmentation models reveals that existing methods demonstrate significant deficiencies in such challenging scenarios, highlighting their serious safety risks for real-world deployment. To solve that, we propose a novel energy-entropy learning (EEL) strategy that integrates the complementary information from energy and entropy to bolster the robustness of anomaly segmentation under complex open-world environments. Additionally, a diffusion-based anomalous training data synthesizer is proposed to generate diverse and high-quality anomalous images to enhance the existing copy-paste training data synthesizer. Extensive experimental results on both public and ComsAmy benchmarks demonstrate that our proposed diffusion-based synthesizer with energy and entropy learning (DiffEEL) serves as an effective and generalizable plug-and-play method to enhance existing models, yielding an average improvement of around 4.96% in $\rm{AUPRC}$ and 9.87% in $\rm{FPR}_{95}$.