Tornados form when there is very hot weather. The sunshine heats the ground and moist, hot air starts to rise, and as it meets the cold air above it clouds will start to form and a thunderstorm occurs. Sometimes the upward movement of the hot air becomes very sudden and as it rains there are also sudden currents of cold air going down towards the ground. These fast air currents going in opposite directions start to rotate a column of air and a funnel cloud starts to form. The rotation gradually gets faster and faster and the funnel cloud will eventually touch the ground. At this point it is classed as tornado!
Naomi described the process really well. I just want to add that if a tornado is formed over water, its actually referred to as a waterspout not a tornado! Also, 3/4 of the worlds tornadoes happen in America.