If you're still reading this, I trust everything went all right?
Good advice so far.
Bear in mind that tornados can and do hit ALL 50 states (
no exaggeration) as well as every province in Canada.
You certainly need to play the odds, because you're less likely in say Alberta as opposed to Kansas, but tornados need to be considered as part of a realistic survival plan.
Whereas you might get a day or two solid warning with a hurricane, you get virtually no warning with a tornado because it's often camouflaged in a thunderstorm.
Conditions can be estimated, especially when you have warm and cold air layers moving into each other from different directions. A radio will help. Look for very low, angry, turbulent clouds that come up from nowhere. Note: not in all cases.
The green sky may or may not be present in a tornado. Unhelpfully, they sometimes happen afterward!
There are some indicators that a tornado condition exist: look for hail and high, gusty winds that seem to be physically strong and growing in intensity. That usually means there's a severe low pressure area racing into your area, which a tornado needs.
If you've been through a tornado, you know about The Sound. There's a deep, rumbling noise that--it can't be said often enough--sounds a heckuva lot like a train.
Seek cover
fast.
If you have a lower level in your house, get in it. If not, seek shelter in the center of your house. Your idea of the mattress will protect you from flying glass. In some small buildings, a mattress over a bathtub is about your only hope, but realize that if the tornado hits your home, that mattress will be sucked off you.
A common but persistent myth is that you should open your windows to "equalize the pressure." This will have zero effect: if a tornado hits, it will literally be like a bomb going off in your home--the differential is momentarily as great as a balloon popping. Whether your windows are open a crack or all the way won't matter to a force strong enough to peel the roof off your home in under two-three seconds: that's the force of the air escaping, by the way, not the tornado itself.
If you're in the actual tornado itself, it will be like a sustained explosion for a few seconds, but it will seem like minutes. Your shirt can literally be peeled off you, and you will likely be deafened by the noise. Small pieces of wood and metal will sting your skin, and you'll be left with welts or small cuts. Keep your head down and eyes closed, and keep hanging on. Everyone needs to hold on to something: many tornados can lift cars... a few people clinging to each other won't matter at all.
In all
probability, however, you won't experience anything nearly that horrific. Usually, you stay under cover and become increasingly aware that the tornado has passed, and that pressure is returning to normal.
You cautiously emerge from hiding--there's likely still a lot of rain and lightning, so be careful outside--and find that your home is okay, and that the property is littered with branches, leaves, and trash. You may seem some items on your house damaged, and there's always the weird thing: a kid's inflatable swimming pool on your garage, a recycling bin from a few blocks away. I once found one of those wedding/canopy tents in my yard, with all the poles still attached. About an hour later, someone came and took it...I don't know if it was the owner or not.
What you need: a battery powered radio that's easy to re-tune so that you can keep checking local broadcasts (don't set it on one station as news coverage varies), and two or three flashlights (in case family members need to separate...for example, you need to check on the conditions). Bottled water is recommended, but you don't need to drag that with you: that's for after, in case local drinking water is momentarily scummed up.
If you have younger kids, make sure they were able to grab their most precious stuffed animals--that may seem frivolous in the few moments you have to scramble for cover, but the psychological value to them is warranted.
When we had a dog, we'd also grab the dog's leash so that she was easier to control in our basement. Generally, most pets are perfectly able to find their own protective cover in a tornado faster than you...but again, the value of keeping *everyone* together in safety can't be over-stated... although, I don't think I'd go grab Little Watchful's psycho betta fish and his whole tank. Screw that fish. He doesn't like me anyway.