I know once the season before last there was a major tornado that came through the area and they evacuated all the guests in the park into safe areas. The arcade outside of the Action FX Theater was one place, I know.
I was there one summer, I believe it was 2001, when there was a really bad storm - the park lost power and trees were down. They shut the park down after it was over for the day.
I've never been at a park during an extremely bad storm. The worst one I encounterd was at Carowinds a few years ago. It had been really dark all day, and about 3:00 they made an annoucement over the intercom that there was a downpoor headed towards the park, and that the rides would be closing temporarily. It started thundering and rained for about three hours.
SFOG did have a tornado cross the river behind GASM and proceed down the side of the parking lott one year. There was some pictures posted on the internet of the damage it did.
I've heard that lots of tornados has come trough theme parks and does a lot of damage or life deaths. I've heard a F-5 tornado came through a theme park once and took out over half of their coasters. I hope this doesn't happen with carowinds but there is a chance it could happen