I live about 2 miles, maybe less, from what's now called the most dangerous earthquake fault in the world (heard that on the TV news tonight, again), the Hayward Fault. New studies show that a lot of the built up stress on the giant San Andreas fault (the one that gave way during the great S.F. quake of 1906) are being distributed to the Hayward fault, increasing the chance for a catastrophic quake. The Hayward Fault typically suffers a large quake every 140 years with fair regularity, and we're overdue.
Tornadoes are scarce as hens teeth around here, but we're overdue for a big earthquake. If the Hayward Fault gives way along a long portion of it that includes the section near me, my house could be rubble, and if I'm inside it, I'm apt to be dead.
Absent the question of which intimidates you more by virtue of where you live:
Earthquakes are scarier because if you are within 50 miles of the epicenter of a large quake, you are in great danger. But a tornado is only so wide. One earthquake can kill over a million people. No tornado can compete. They are relatively inconsequential. Add to that the fact that you will get tornado warnings and you can seek shelter, which you probably have if you live in tornado prone areas. They are trying to build an earthquake warning system in CA patterned after the one in Japan, but they don't have the 80 million dollars to fund it. That might give you from a few seconds to maybe 1/2 a minute. The closer you are to the epicenter, the less warning you would have, so if you are near ground zero (where the shaking is the most violent), you have essentially zero warning and you're just plain fucked.