We came very close to a tornado hitting out house 2 years ago in February. After that scare, I started checking out tornado shelters in my area of Southern Oklahoma. There were basically 3 types of shelters. Two are made of thick concrete and one type was made of fiberglass. The fiberglass shelters are lighter weight and placed in the ground as is one style of the concrete. The third type is a concrete "room" or "safe room" as they call it.
Safe rooms are normally "set" in the center part of your home during construction. They are made of thick concrete and have heavy steel doors. They are tested to withstand an F-5 tornado. However, it is above ground. I have personally seen a house that was completely demolished except for the safe room, which was the only thing left standing.
Personally, I want to be as far underground as I can get. The first type of concrete shelter is one that is set inground. It is also made of thick concrete and heavy steel doors. This was our preferance as I felt safer with the heavier concrete shelter. A hole was dug with a backhoe about 5 feet deep and leveled out. Then the shelter was set down into the hole and the dirt that was dug out was placed around the shelter.
Now you have to understand that I am absolutely scared to death of tornadoes! My husband swears to me that there is no way that a tornado is going to suck me out of this inground shelter. In my own personal opinion, the inground cement shelter would be the safest. However, if a tornado comes right over the top of me, it really isn't going to matter, as I will probably die of a heart attack anyway! :)