Not sure if you have seen this but in gears3, Thomas Browett made a really sweet tornado for a Multiplayer map. It was basically a fancy funnel shaped mesh with cool materials, and used fresnel to control the edge opacity.
https://www.youtube.com/watch?v=EWCHdKFHSM4
raymarching sounds cool too, but it might be a lot slower for something that can probably be just as good using regular materials. Ie in the above example that could just be a mesh and the vertex shader could do the random motion part.