Coming from Oklahoma let me weigh in on this subject and correct all the glaring bullshit that I've read so far.
1st: Storm shelters are expensive. For instance s helters from this company start at $2600.
http://www.shelters-of-texas.com/faqs.html#anchor2
2nd: It's very common in rural Oklahoma to have one family with a cellar (Storm Shelter) and for other relatives living nearby to go there before and during storms. With longer lead times that are now common due to better forecasting this is viable for some people, my mother being one of them.
3rd: The odds of being hit by a tornado are still small. I've lived in Oklahoma and Texas for 42 years and have never seen a tornado on the ground.
4th: Building an underground storm shelter is much more difficult than you can imagine. You don't just dig a hole and line it with cinder blocks and if you do you need to go ahead and bring a casket with you because you're f***ed like Chuck if heavy debris falls on it.