I can't see spending a lot of money on a "tornado helmet". Sure, a helment would be better than no helmet, but how much would it really add to your protection? Similar to wearing a Nomex suit every time you get in to drive your car (worn in preparation for an accident and fire). It's true that Nomex is better than no-Nomex, but other than race car drivers, this is not a safety preperation you normally see being done.

If you can find an inexpensive helmet - a used construction hard hat maybe - I'd say go for it. Spending a lot of money on a helmet seems like a waste though. Tornados uproot trees and throw them through houses. They pick up cars and throw them across the field. I don't think a helmet is going to do much for you if you find yourself flying with the trees and cars. Inside, maybe it would help against falling debris. But I think taking that expensive helmet money and building a cinder block cubby in your basement would be better protection for your dollar.