I have the "Pro Weather Alert" for Android.
What it alerts are completely customizable.. everything from tones, vibrate, location, type, severity you name it. It's very good and seems to be very stable.
Living in Tornado Territory, I've made educated my family that if they ever hear my phone making "This noise", get to the basement.
Of course, there's the regular limitations of it's a cell phone, cell phone towers, etc.. etc.. but the app itself is intelligently designed, and it's a whole $1.99.
Rod