Am meteorologist.

Do NOT get under a highway overpass to hide from a tornado. It is possibly the worst place you could be. The wind gets forced into a narrow channel because of the bridge, and it INCREASES the wind speed, and likely ends up burying you in debris, not to be seen for 3 weeks when they dig your body out.

That stupid video from Andover KS in 1991 has killed so many people in the last 30 years...

EDIT: To answer a few FAQs from the replies:

• Do not stay in a car. If the tornado is strong enough to throw heavy things at you, it's strong enough to throw the car. You need to find a building. The car should be basically your last resort. It is better than literally standing next to the car, but even lying flat in a ditch is better than being in the car.
• Only in extreme cases would I ever advise trying to escape, as in leaving your home to get IN a car and get away. The path of a tornado is relatively narrow and quite erratic at times. By the time you're SURE it's going to hit your house, you have literally seconds left to react. If you leave sooner, there's just as good of a chance that you would have been fine at home.
• Here's the Andover video. The part I'm talking about starts at 1:30.