There are two ways of generating sound from an Arduino.
The first is to play back a recording. This requires quite a bit of memory to store the recording. The longest you can get out of an Arduino Uno is about 3 seconds but there is not much room for much else. As an example here is a video of an Arduino saying just two words:- Arduino Uno saying Yes & No without extra hardware - YouTube
To get more words / sounds you need either an Arduino with more memory or some form of external storage like an SD card and reader. You can record your noises from an application that runs on your computer called Audacity ( free ). Then it can be written onto an SD card and transferred to the Arduino. Or you can search the web for sound samples you want and edit them with Audacity.
The second way is to synthesis the sound in real time. This is best suited for simple waveform. The Tone library for example produces a square wave of different lengths and durations. You can have code that generates triangle and sine waves and even produces sweeping wooping noises. You tend to write the code for the waveform and what the waveform does for yourself as each situation is different.