Yes, I have Wx Alert USA (paid) but kinda a pain to set up. However, it did alert me about a tornado warning before the tornado sirens went off last time. I also have WeatherAlerts (free). Also, there is Nixle (not an iphone app - go to www.nixle.com) that will send you free text alerts. You can just text your zip code to 888777 to get the text alerts.
Re: Is there a weather iphone app?