There are two types of sound associated with a train: the "horn" (or whistle or bell) which operates on demand, and the "chuff" which happens constantly as the train moves.
To sound the horn: press the Horn button on the control panel, or choose Sound Horn from the Train menu.
To choose a different type of horn: open the Inspector to the Train tab, and select a type from the Horn drop-down,
To turn chuffs on or off: check or uncheck Locomotive Sounds in the Settings tab of Preferences.
The loco sounds vary depending on the speed of the engine. Currently they don't sound very good at high speed -- both types of sound are slated for improvement in an upcoming version.