Wow! Any info on how they do that?

Google came up with this patent for it:

"An array of parallel pipes, each having ports through which jet-like air streams exit, are arranged so that a peripherally directed air curtain is formed. The posts are shielded at both ends, and one end is provided with a chimney along a central axis of the air by which air or fluid is removed. By giving the air curtain a centrifugal force, a negative pressure is produced along a central core, and a spiral flow is produced, creating an artificial tornado."

I am also guessing they have an outlet for the fog in the ground and the lights up top added for making it more visible.

They have a small one at Universum Science Center in Bremen (site in german only, sorry) which is very cool because you can run your hand through it and interrupt the flow to see it forming from scratch again.

By the way if you wonder why they actually do that: it is part of the fire extinguisher system of the museum. they don't do the tornado for entertainment, i guess this was just a test of the system.

From Popular Science Blog:

"To create the effect, the museum's designers set up a disco smoke machine, then activated a set of 144 nozzles on the ceiling of the building's enormous atrium. The ventilation system, designed for emergencies, sucks the disco smoke up from below. To produce a spinning vortex, however, they blew air in from the sides, forcing the smoke to swirl."