Here are mine, Wolo 847 "Siberian Express":
http://www.youtube.com/watch?v=MQwXY8GQ3gU
They're not actual metal train horns, but plastic clones. But they're big as hell (the longest of the three is 2 ft long) and they're loud and scare the shit out of you. I was too cheap to buy an on-board compressor and instead bought a 5 gallon air tank with a schrader intake valve. I'm filling it from my garage compressor. A full tank last about 20 horn blasts, which is more than I do in a week.
I've installed the horns under the bumper behind the rear wheels. Had to separate them from their manifold in order to make them fit. The tank is in the rear cargo area.
The whole deal cost me about $140: $80 for the horns and valve (amazon), $40 for the tank (Walmart) and then some for cables, horn button, etc.
A real set of actual train horns runs into the hundreds of $, plus about $300-400 for the air system.