Find a small inner room on the ground floor (or below ground if you have one), close all doors, get down on the ground, cover the backs of your heads, and stay there until the warning is over. Don't go near windows. Don't try to open or close them either--your only priority should be to get to safety. Stopping to grab anything that you will not need for certain in the next 15 minutes is a bad idea.
I live in the Kansas City area, which is a part of tornado alley. Our area and the areas surrounding us get tornado warnings a lot, usually in the spring, but sometimes in the fall or summer. I've also been feet away from a tornado, both away from home and--earlier this year--in my home. Tornadoes are unpredictable, and they can completely ignore entire areas. Your next door neighbor--on all sides of your house--can be fine and have minimal or no damage, and your house could be totaled. To quote my first phase electronics instructor, "Nature is a Mother."
There's not much you can do when a tornado hits, but there's a lot of things you should not do. Stay out from under bridges, for example--ditches along the side of the road are better, assuming they don't flood. Don't be an idiot and sit on your front porch filming one of the things--it's common for people to do it around here, but it's stupid. Stay out of sewers, draining pipes, and whatnot. Concrete is not your friend. Last of all, don't believe that the wind is what will kill you, and never assume that you're in the safe zone. The funnel cloud isn't what will kill you. It's the stuff flying around for up to a mile outside the funnel cloud that will. In fact, if you can see the funnel cloud in the distance, you're already in danger of being killed.
I love the movie Twister, but as a general rule, movies are absolutely worthless for learning practical knowledge. Even documentaries. Why? A fixed time span can't tell you everything you need to know. You're not going to watch an hour of people studying shark feeding habits and be a marine biologist, and you're not going to watch a two hour documentary about tornadoes and be a meteorologist. And by the time the information reaches you, chances are it will be outdated anyway. And that's assuming there is no bias, agenda or money factor involved. Just take movies, tv, etc for what they are and enjoy them.
Oh, and concrete walls can crumble if something hits them, and steel tops will be ripped off by the winds (assuming something doesn't just hit them). The sturdiness of your surroundings is irrelevant, it's the size and how low it is. Smaller, more enclosed spaces at or below ground level offer better protection--just look at pictures of houses hit by tornadoes. You'll notice that the innermost walls are often the least damaged.
