According to this pretty animation on CNN:
http://edition.cnn.com/interactive/w...ado.animation/
Other reference:
http://en.wikipedia.org/wiki/Tornado
According to the pretty pictures, a tornado is primarily formed by, a) a big updraft forcing warm air up, b) instability at higher points causing a rotation in the clouds, c) cold air cycling back to ground level causing the funnel to form.
I assume that while the conditions to form a tornado can be present anywhere, the chance of them being in some places is rather low. It might be that some valleys cannot heat up the air fast enough to recycle the cooler air, or produce the updraft needed to start one.
Both sources also say that a tornado doesn't have to visible, but because of the air/dirt it usually is. It's possible that a tornado can go over a lake without being seen.
Might be some interesting links in the wiki there to see how and where these things forms.