Here in missouri, right in tornado alley, we get several or tens of them a season. I have never seen one, though. Typically, they come at night or late afternoon. Even if they are close by you may not see one.
When I was younger a big one came through only a 3-4 city blocks from my house. Completely destroyed several houses and damaged tens more. Realistically, I have more fear of hail damaging my car than total destruction from a tornado.