Shewww... The TV survived... But seriously... Anyone knows why most of the houses in the tornado belt are made of paper? Wouldn't a cement house work better?

MONEY!

Seriously though, a cement or brick house isn't going to make any difference if it takes a direct hit from a tornado. It will handle the debris flying around at 200+ mph much better, but cannot sustain a direct hit. There are a few structures (like steel frame houses) which might fare a little better, but the cost is prohibitive.

I think it is also important to consider the size of the region we are talking about here. According to Wikipedia, "Tornado Alley can also be defined as an area reaching from central Texas to the Canadian prairies and from eastern Colorado to western Pennsylvania." That's an area of approximately 1.5 million square miles. Where exactly do you draw the line on enforcing extremely expensive building codes? How do you justify the increased building costs in one town but not the town 2 miles down the road?

The building codes in the core of Tornado Alley (north Texas to Nebraska) are more restrictive than you imagine. They focus on strengthened roofs and secure foundations that can take a fair amount of straightline wind. But really, the odds of any given house in Tornado Alley sustaining a direct hit are extremely low (about 1 in 10 million in any given year) so it is much more cost effective and reasonable to require storm cellars which protect life instead of worrying about property. Notice how not a single person was injured in this house despite the destruction.

This is a video of a WIN not a FAIL.

Woah - that buzzing sound when the tornado was ripping his house apart was crazy.

Stronger materials wouldn't do a thing. You'd need a concrete bunker to withstand a direct hit from a tornado.

The dude needs a little practice at calming his loved ones...

Here's the best, cheapest, readily available tech for building your tornado-proof bunker....Monolithic dome protected by a natural berm.
http://en.wikipedia.org/wiki/Monolithic_dome

...and here's where to take your trailer and drive away with all you need to build one...CHEAP!
http://www.monolithic.com/

Grew up at the edge of the belt.
Never stopped being respectful and fearful of tornadoes...
Always knew where the nearest basement and bathroom (strong walls and pipes) was.