You have a pretty good collection of different alert sounds in OS X, but if you prefer to make your own, OS X Daily walks you through the process, from recording the sound to placing it in the correct directory.
The entire process is pretty easy. You'll just need to record a sound effect (or import your own), then place it in the
~/Library/Sounds/ folder. Once the file's in there, you can access it from System Preferences > Sound. If you're sick of the boring built-in sounds or want to customise your alerts with more soothing tones, it's nice to know that it's an easy process.
How to Make a Custom System Alert Sound for Max OS X [OS X Daily]