It depends on where you live, really. Tornado ally is where most tornados occur. That's because tornados mostly are formed in warm weather.
The greatest danger is flying or falling debris
The danger isn't categorical. That's like asking which is more expensive, a home repair or a medical expense. Each tornado or hurricane must be gauged individually.
A tornado threat is not a formal term in meteorology. It merely refers to the potential danger an area might face from tornadoes and the magnitude of that danger.
A tornado warned storm is a thunderstorm for which a tornado warning has been issued, indicating that it is capable of producing a tornado. A tornado threat is a general term that refers to the danger tornadoes may pose to an area during a particular storm.
A tornado watch means that general weather conditions are right for tornadoes to form, even if there is no imminent threat. If there is immediate danger of a tornado then a tornado warning will be issued. To help you remember, a tornado watch simply tells you to watch out.
If an announcement indicates a general possibility of tornadoes, but not that there is an imminent danger, then it is called a tornado watch. If there is an imminent threat of a tornado, then a tornado warning is issued.
While property damage in a tornado is primarily caused by the tornado's extremely powerful winds, the greatest danger of injury and death to people comes from flying debris.
Windows can break even in weak tornado, creating flying shards of glass. Windows also offer no protection from flying debris, which is the greatest danger in a tornado.
A "fire tornado" is not a true tornado and is more properly called a firewhirl. Firewhirls can produce strong winds, but they usually are not strong enough to cause major damage. The main danger is that a firewhirl can spread fire to a new location. The fire can then potentially burn down entire neighborhoods.
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A cow wouldn't be THAT stupid! Cattle, like all prey animals that are faced with life-threatening danger, DO NOT lay down: they run like they got a fire lit under their tail to get out of the danger area, which would be the tornado.
I used to live in Tornado Alley... a tornado watch means that the weather conditions mean it is very likely that a tornado will form in an area. A tornado warning means a tornado has touched down nearby.