Do a forum search for Tornado, and there's a very good tutorial on how to do it, using Cylinders with cloud materials. Basically rotate it over the keyframes, and it will look like its spinning. For debri flying around it, make tons of little broken up objects, and click on the little "A" next to them, and select "show origin handle" on the window that pops up. Click OK, and then a green tiny spot will appear. Drag that to the center of the tornado, so if you rotate an object, it will rotate around the tornado. Keyframe that for motion. Pretty simple from there!