Short answer: Shaldon sits on the estuary rather than the open sea, so it is calmer than Teignmouth when the weather turns. The Smugglers' Tunnel is covered, and the village pubs are all within a couple of minutes of the green.
This is Shaldon's advantage. It faces the estuary rather than the open sea, so when Teignmouth's seafront is being blasted, Shaldon is comparatively calm. The village is built around a green with everything close together.
The Smugglers' Tunnel through the red cliff to Ness Cove is covered for its length, which makes it the one bit of sightseeing here that rain does not spoil. The cove at the bottom is empty in poor weather.
Shaldon Zoo and Wildlife Trust on the headland is tiny and specialises in small primates. It is mostly outdoors, so treat it as a between-showers option rather than a downpour one. No dogs.
Teignmouth's sea wall is one of the best storm-watching spots in Devon — waves breaking over the wall as trains pass a few feet away, with the station right there if it turns foul. The ferry may not run in rough weather, so check before relying on it.
Torquay is twenty minutes and has more indoor attractions than anywhere in Devon, including Kents Cavern, which is underground and open year-round.
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