This photo from The Chicago Tribune illustrates two of the tornado safety rules perfectly.
The lower floor is mostly intact and, if you had taken shelter in a closet or bath in the middle, you probably would have been fine.
Now, look at the upper floor. The whole left side is gone and there is heavy damage to even the larger inner rooms. But, the closet (circled) looks OK. The more walls you put between yourself and the tornado, the better. Plus, being a small room like a closet or bath, gives you more vertical support per cubic foot, meaning heavy debris is less likely to fall through and injure you.