As a resident of "tornado alley" (Kansas) I might offer a couple more comments. As Steve Fehr mentioned, one reason 2x4 construction is so popular is that its cheap compared to other construction methods. But I want to dispell the idea that USA homes are cheap.....at least to build new. The cost of construction and real estate has risen so much over the past few years that the cost of home construction is beginning to make home ownership unattainable to a great many people. If this country built with a more expensive building method, I would imagine homeownership would be out of reach for the majority of the population.
As far as basements or storm shelters go, most homes in tornado alley have basements where ground conditions permit them to be built. In some areas, either shallow groundwater or rock formations make it unfeasible to build basements. Some new homes around here have concrete "safe rooms" in the basements, with steel doors on them. In an F-5 tornado, even a basement may not save your life. In the Greensburg, Kansas tornado, which wiped out the entire town, the only structure left standing was the grain elevator.
