From the FEMA (Federal Emergency Management Agency) site:
Go at once to a windowless, interior room; storm cellar; basement; or lowest level of the building.
If there is no basement, go to an inner hallway or a smaller inner room without windows, such as a bathroom or closet.
Get away from the windows.
Go to the center of the room. Stay away from corners because they tend to attract debris.
Get under a piece of sturdy furniture such as a workbench or heavy table or desk and hold on to it.
Use arms to protect head and neck.
If in a mobile home, get out and find shelter elsewhere.
If at work or school:
Go to the basement or to an inside hallway at the lowest level.
Avoid places with wide-span roofs such as auditoriums, cafeterias, large hallways, or shopping malls.
Get under a piece of sturdy furniture such as a workbench or heavy table or desk and hold on to it.
Use arms to protect head and neck.
If outdoors:
If possible, get inside a building.
If shelter is not available or there is no time to get indoors, lie in a ditch or low-lying area or crouch near a strong building. Be aware of the potential for flooding.
Use arms to protect head and neck.
If in a car:
Never try to outdrive a tornado in a car or truck. Tornadoes can change direction quickly and can lift up a car or truck and toss it through the air.
Get out of the car immediately and take shelter in a nearby building.
If there is no time to get indoors, get out of the car and lie in a ditch or low-lying area away from the vehicle. Be aware of the potential for flooding.