Underpass is a terrible idea. I know that news crew took shelter under one, but they got lucky because the tornado passed behind where they were hiding. The wind you saw was an inflow jet, not the tornado itself. Had the tornado struck the bridge, the people under it would have been up in the debris path and could have been hit by anything that was flying in the tornado. Plus, since an underpass is a narrow opening, it accelerates the wind, which would intensify the experience. And finally, remember that the I35W bridge collapsed in Minnesota on a day where there were no severe storms at all. You can't tell the structural soundness of a bridge just by glancing at it while you're running away from a tornado, and so you can't estimate whether or not it will survive the impact. It's much better to get into a low-lying ditch.
As for driving the other direction, unless you know what you're doing (in which case you're probably a chaser and not trying to get away from it in the first place) trying to drive away from a tornado can be more dangerous than staying put. The tornado you see might not be the only tornado out there, and the other one (or more) could be rain-wrapped so that you can't see it. And the tornado can change directions and doesn't have to follow roads like you do. Even experienced chasers have had plenty (too many) close calls with tornadoes. They're not something you can just easily drive away from.
Ratcat: It would be better to install a tornado shelter in the yard. Barring that, you'd be better off waiting out the storm in the bathtub. We're not talking about getting sucked up into the tornado here - we're talking about being inside a vehicle that's tumbling over and over in the tornadic winds. Ever seen a rollover wreck? Imagine if the car had rolled 100 times. You'd be mangled in it.