pick a power source and some speakers. Any experience with any of the amplifiers?
You can buy a "buzzer/beeper" that has a sound-generator built-in. A car horn also works that way... You apply power and it makes noise. (But it would probably require a motorcycle battery to power a car horn.)
If you want to generate the sound yourself and use a piezo speaker/transducer or regular speaker, you can generate a square/rectangular wave with an [u]LM555 chip[/u]. If you don't know what a square wave sounds like, you can generate square (or sine, etc.) waves with [u]Audacity[/u] and play them on your computer.
A square/rectangular wave can be amplified with a simple [u]driver circuit[/u], or you can use an H-bridge motor driver for twice the peak-to-peak voltage (and 4 times the power).
For "regular sounds" (or sine waves, etc.) you'll need an audio amplifier. There are lots of amplifier chips available.
A piezo buzzer/transducer can be very efficient and get loud a higher frequencies. i.e. A smoke alarm can be very loud with just a 9V battery. As you go down the frequency spectrum it will require a regular speaker and more amplifier power. For example, a 10 Watt car stereo amplifier would be considered "small" and you wouldn't be able to get much bass. But at higher frequencies, 2W could be rather loud.
The bottom line is that it's very difficult to predict how much amplifier power you'll need, or how big of a speaker you'll need.