The only structure I would trust to be proof would be an underground home, similar to a cellar. As mentioned earlier it is not only the winds you have to worry about, but the flying debris - perhaps more so.
However, the design of my Lustron is pretty good. One Lustron was known to take a direct hit from F5, and while the glass and roof panels were gone afterwards, the structure was still standing with even the ceiling panels still in place.
All steel construction FTW.
http://en.wikipedia.org/wiki/Lustron