When out and about and worried about the weather I carry one these. It's not terribly precise, but usually better than the weatherman re: local conditions, and much easier to carry.

http://www.strikealert.com/

For a less portable, but much more accurate unit, I use this for lawn parties and when the kids have outdoor events, ie. soccor or football games. It gives a fairly precise warning of approaching storms (if there is lightening in it, and most Midwest storms do). It aso gives afairly accurate time to clear (it estimates passage time based on rate of travel)

http://www.spectrumthunderbolt.com/personal.html