A few months back, while we were camping, we had tornado watch in effect. We've never had to deal with something like this before. We actually did pack our things and head to the nearest gas station. I'm not sure driving is a good idea either. I'm curious what everyone else does in severe weather?
I can say that I have been lucky and have never ran into a situation like this. I have been camping when there has been thunderstorms and high winds, but never a tornado or hurricane. I always try to be prepared and have a plan in place just incase something like this does ever happen. Some of the campsites I go to will have emergency shelter locations posted, severe weather procedures, and an alert system in place. I also bring along a weather radio, just incase.
There have been plenty of close calls, but nothing as drastic as having to pack up and go to an emergency shelter. I can't imagine how much that would mess up a camping trip! That's why it's always important to try and work around storms if possible. Those freak ones that appear out of nowhere though...ain't nothing you can do about that.
Out in the bush an emergency shelter is the one you can find. I look for big rock outcrops with boulders to hide in. It is best to stay away from all but the smallest trees. A friend was canoeing in the Boundary Water CA in Minnesota during a severe thunderstorm with many microbursts. They hid out in some rocks. When the storm had passed, the whole forest was flattened for few thousand acres in all directions. Nature: its not what you think.