[Al Skierkiewicz]

You can connect a small speaker and a 555 timer to make a cheap beeper. Radio Shack had a three wire piezo on the shelf for a long time. This would self oscillate or could be connected with a 2N2222 for feedback operation. The feedback made it highly efficient. I could not find it on their website though.
As Ether pointed out, a digital output could make a nice beeper if you couple it to an LM386 or equivalent and a speaker.