I don't have one ... I just go into an interior closet in the center of my home. It's always important to have as many walls between you and the outer walls of your home. That way, if a Tornado struck, the debris would not necessarily hit you because there would be walls blanketing you in between the blowing debris.
At least, that's the so-called theory.
Unless, of course, the wall next to you topples over ... then I would just duck and kiss my keyster goodbye.