The physics of tornadoes is very interesting. It all has to do with pressure and angular momentum. When air is heated it expands causing the density to decrease. This decrease in density combined with the higher density air around it causes the heated pocket to rise. The surrounding air then rushes in to fill the void and a tornado is born. The tornado is perpetuated by its own angular momentum.
To learn more check out http://outreach.phas.ubc.ca/phas420/p420_04/sean/