Yes, If You Don't Have a Basement

 A safe room, properly constructed, is the way to go. This survived the Enid EF-4 tornado one week ago today. 

You can also purchase a tornado shelter. If your home has neither a basement nor a safe room, Survive-A-Storm makes fine shelters. They also have the Storm Warn service where (my recorded voice) will call you for a tornado warning or a warning of ≥ 80 mph winds only. That way, you don't get called at 5am for hail; which usually, and loudly, makes its presence known without a phone call.