I've been through three different tornadoes:
1 - I was about 14, in our house in Naperville, IL, and a tornado came through near us. Mom took me down to the basement and we hid under a mattress. Turns out it came very close, but did not actually hit us.. Call this one a near miss
2 - I was about 15, a boy scout, and we were coming back from a camping trip somewhere in central IL. The scoutmaster was driving, and there were 4 of us in his station wagon. We were driving along a very straight, very flat section of highway.. you could literally see for a good 10 miles in all directions. I was sitting in the far back, sitting in the wagon section, along with another scout, and we were goofing around, when I happened to look out the back and saw a tornado that had been traveling perpendicular to the highway, to our south (behind us), hit the highway and suddenly turn, and head straight up the highway in our direction. I yelled forward to the scoutmaster and told him about it. He looked in the mirror, said something a scoutmaster would not normally say in the presence of his scouts, and punched it. Problem was, there was NOTHING but straight highway for a few miles. Up ahead, there was an overpass, but it was miles away.. I don't know how fast he got the car going, but he was going for it. We made it to the overpass with maybe 30 seconds to spare. he pulled it as far in as he could, we got out and rushed up the side to the little wedge area at the top, where it met the road going over top, and grabbed on to the crossbeams. The tornado went RIGHT overhead.. and the wind/suction was insane.
3 - I was about 23, and my girlfriend and I were in a bank in Naperville with our daughter. This particular bank had a lot of large windows, and it was raining pretty good when we got there.. while we were inside, we could clearly see the sky turning green.. and while I was watching out the window behind the tellers, I literally saw a tornado drop RIGHT in the intersection behind the bank, and start churning in our direction. They quickly ushered us into the basement (lucky for us they had one), and we waited it out for about 45 minutes. When we finally came back up, multiple windows were broken, and things were a mess. There was a large building next door that had its metal roof about 3/4 pulled off by the tornado. They really do sound a ton like a freight train.
... It's funny.. My wife, who grew up on costal Australia and has never seen a tornado anywhere except on TV or in movies, will sometimes say that she wishes she could see a tornado up close.
I always just tell her "Trust me - No, you really don't"