One of the most persistent myths associated with tornadoes is that opening windows will lessen the damage caused by the tornado. While there is a large drop in atmospheric pressure inside a strong tornado, it is unlikely that the pressure drop would be enough to cause the house to explode. Some research indicates that opening windows may actually increase the severity of the tornado's damage. Regardless of the validity of the explosion claim, time would be better spent seeking shelter before a tornado than opening windows. A violent tornado can destroy a house whether its windows are open or closed.
Another commonly held belief is that highway overpasses provide adequate shelter from tornadoes. On the contrary, a highway overpass is a dangerous place during a tornado. In the 1999 Oklahoma tornado outbreak of May 3, 1999, three highway overpasses were directly struck by tornadoes, and at all three locations there was a fatality, along with many life-threatening injuries. The small area under the overpasses created a kind of wind tunnel, increasing the wind's speed, making the situation worse. By comparison, during the same tornado outbreak, more than 2000 homes were completely destroyed, with another 7000 damaged, and yet only a few dozen people died in their homes.
An old belief is that the southwest corner of a basement provides the most protection during a tornado. The safest place is the side or corner of an underground room opposite the tornado's direction of approach (usually the northeast corner), or the central-most room on the lowest floor. Taking shelter under a sturdy table, in a basement, or under a staircase increases chances of survival even more.
Finally, there are areas which people believe to be protected from tornadoes, whether by a major river, a hill or mountain, or even protected by "spirits". Tornadoes have been known to cross major rivers, climb mountains, and affect valleys. As a general rule, no area is "safe" from tornadoes, though some areas are more susceptible than others.
Batten down the hatches folks...