A few additional comments from someone who has lived in both Tornado Alley and Hurricane Central (aka the Gulf Coast):
1. Are tornadoes really that dangerous?
Yes that can be very dangerous, capable of rendering concrete building to rubble in seconds.
Even an EF0 tornado (which is viewed as incredibly weak) can do substantial damage to small buildings, mobile homes, and vehicles.
However they tend to very erratic, they can destroy one house, leave the next door house intact and destroy the one after that.
Part of that is due to the tornado having multiple vortices, where you can have a weak vortex and inside is a much stronger vortex. See Xenia, Ohio, 1974 for an explanation.
2. Why don't people live away from where tornadoes exist?
The United States just happens to have the exact sort of geographic and weather patterns that are very conducive for tornadoes to spawn. Again, see April, 1974 for an extreme (but surprisingly common) example of a tornado outbreak.
3. Are tornadoes all that dangerous?
All tornadoes have the potential of being dangerous. Even if it's in open farmland, or a forest area, a tornado still can cause damage, and even death. (See Iowa, June 2008 and the death of 4 at a Boy Scout Camp)
4. Can they occur at night?
While tornadoes can occur at any hour of the day, there are two general periods of time when tornadoes are more likely. For what is called Tornado Alley (Texas through the Dakotas) the most likely time is in the afternoon hours into the early evening. But for what might be called Dixie Alley (which is the southestern US) the most likely times are from 10pm to 5am in the mornings.
I'm not a meteorologist, but I did for a few years study meteorology with an intent to go into the career field.