As damaging as a hurricane is, I'd have to say tornadoes are probably more dangerous, seeing as you have almost no warning ahead of time when one finally touches down. Especially an F5 tornado. Doesn't matter how well your house was built, it is not going to survive a direct hit. When it comes to shelters, I'm sure it is just too expensive for your average homeowner to build, especially when you factor in how expensive it is to blast through bedrock and also how Oklahoma is one of the poorest states.
Oh and also, one of the most damaging things about tornadoes is the pressure. It pretty much makes your house implode.