The Greddy 60mm electronic gauges offer this feature. They do not come with a buzzer/siren, but you can buy one for about $3 at Radioshack. I have one setup on my EGT and Boost gauge. It's 120db's and just about perfect to hear with a helmet on and the windows down at 160mph.
I cut the hole in the stock clock location a little larger to accept the 60mm boost gauge.
All you need to do is find a switched 12v source (you can use the wire on your clock harness) and then connect the ground to the wire from your gauge. Just go to your local Radio Shack and get a 12v 120db siren.