I don't have anything but the stock alarm. Guess it is for sure time to invest in one. Or at least glass and shock sensors wired to a train horn.
And yes I am going to start getting ready to get my CHL/CCW here shortly. And when I do get it I will keep it to myself so when someone does something like this I can take them by surprise (hopefully I'm in the car for some reason).
you say you're looking for a train horn..
http://www.tahoeyukonforum.com/forum/showthread.php?t=32631