http://youtube.com/watch?v=bhgKRayPovQ
I did a specific Google search for this video on these forums, and surprisingly, I wasn't able to find a single post with the link. This video is a year old, but it's still a good severe weather video with a siren. A 2001 can be clearly heard, even over the heavy rain. The YouTube user who posted this video says he's from Meridian, Miss.