People say it sounds like a train... I disagree, I don't run for cover when the Soo Line comes barreling down the tracks. A tornado sounds like a high force gale coming your way, with a bit of a whistle and rumble-- and the sound of debris smashing into buildings. A tornado sounds like a tornado, it cannot really be compared to anything. My opinion
I have personally never experienced a tornado but have heard that it is really loud. It is described like the sound of a thousand trains passing. Visit http://www.spc.noaa.gov/faq/tornado/ for more interesting facts about tornados.
A tornado sounds like rolling thunder that doesn't stop. It's so loud it's deafening. I lived through one as it took off my roof and leveled my next door neighbors house. Trust me it is the scariest eeriest noise you will ever hear. I took cover in my bath tub and had to cover my ears because the f5 was so loud.
I heard an F4 tornado passing 3.5 miles to the southeast of my location. It sounded like a distant "whooshing" sound, or something like the sound of ocean waves breaking in the distance. It sounded distinctly different from the usual sound of interstate highway and occasional rail traffic that was often audible from the same general area. I was north of where the storm passed, and it was very calm, which enabled me to hear the tornado from over 3 miles away. I thought the sound was very odd, but did not know until the next morning that what I had heard was a tornado.