In Denmark we have a national system of sirens. They are tested once a year at a specific date and time. In the cold war era they used to test them every Wednesday at noon, but it has been scaled down since then :-)
(This false alarm was a push alert sent to cell phones. What about people who don't have a cell phone on them when the alert comes? ... good luck)
At 5pm they play a 30-second traditional Japanese lullaby. If you ask people, they say it means it's time for children to go home - though as far as I can tell it has nothing to do with actual school schedules. I'm not sure everyone realizes it's actually a warning system.
They are primarily for tornadoes rather than nuclear weapons though.