Wikipedia entry includes myths such as using highway overpasses as shelter (not wise, see below), opening windows to reduce tornado damage (current advice is that opening windows in advance of a tornado wastes time that could be spent seeking shelter), and escaping a tornado in a vehicle (the National Weather Service advises that if a person spots a nearby tornado while driving, the individual should abandon the car and seek shelter in a ditch or culvert, or substantial shelter if nearby).
using highway overpasses as shelter
From lessons harshly learned in the 1999 Oklahoma outbreak, and for many scientific reasons, meteorologists insist that overpasses are insufficient shelter from tornado winds and debris, and may possibly be the worst place to be during a violent tornado. The embankment under an overpass is higher than the surrounding terrain, and the wind speed increases with height. Additionally, the overpass design may create a “wind-tunnel” effect under the span, increasing the winds further. Many overpasses are completely exposed underneath and most lack hanging girders or a crawlspace-like area to provide sufficient protection from debris, which can travel at deadly speeds even in weak tornadoes. Even worse, people stopping underneath overpasses blocks the flow of traffic, putting others in danger unnecessarily.