Are current warnings or historical data available as open data in some geographical data format (such as ESRI shape files, or KML files)?
Here are some US thoughts:
For US warnings/watches, you probably want to go the the storm prediction center, http://www.spc.noaa.gov/wcm/ and you may want to look at the weather related shapefiles http://www.nws.noaa.gov/geodata/ and the current alert system probably has an archive, but I didn't see it on first glance: http://alerts.weather.gov/
I would suggest digging into the census tools related to disaster management.
The "on the map" product is a mashup of (1) weather data and (2) population/business data so that the impact of weather on population/businesses can be assessed.
It is only actual federally designated areas, I do not know if it has warnings/watches.