tput bel works in most shells.
In OS X, this (and any other command that makes the bell go off) also gets you a badge if the command is executed when Terminal was not in the foreground:

Printing \a did not always work for me (MBA, 10.7.4). I use this instead:
say "beep"
Indeed, the following is effective and somewhat melodic:
say -v Bells "dong dong dong"
[Update] Unfortunately Bells is no longer included in latest OS X. Try:
say -v Victoria Do your homework!
Use the following to explore voices:
say -v \?
write echo ^G in the bash. to create the ^G press ctrl+v and then ctrl+g.
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