Arduino piezo-buzzer melody for car alarm
I think what you're really asking for is a library of sounds (in the form of code), rather than a code library in the normal sense.  I'd like such a thing too (specifically a retro-gaming style laser noise), but extensive googling hasn't found anything, though someone has made a sketch of the Tetris theme.
A car alarm is probably fairly easy - a couple of for loops changing the frequency of a tone(); My Arduino and piezo buzzer are at home but playing that YouTube and using a spectrum analyser app on my phone it looks like (using the waterfall display mode):

The first alarm is looping from 1000Hz to 2200Hz over about 250ms, then back down again.  - The next 2 are falling tones, from 1kHz down to about 500 over 250 or 500ms.
Then we've got a rising tone 500 Hz to 1kHz  over 2s
A beep at about 2.2kHz, 250ms on/off
A two-tone siren at 1 and 1.5kHz, 1s of each.

Times and frequencies were indeed a little off, and many of the frequency ramps aren't linear, but here's something to play with.  The more interesting alarms are in there, along with a couple of laser zaps.  The square-wave drive of a piezo (leading to interesting harmonics), and the complete lack of a low frequency response (nothing below about a few hundred Hz on the one I have here) limit things a little, but it compares well to a Lego siren I have
int beep_pin=10;
int gap=1000;

void setup() {
  // put your setup code here, to run once:
  pinMode(beep_pin, OUTPUT);
}

void zap1()
{
    for (float f=3000;f&gt;40;f=f*0.93){
    tone(beep_pin,f);
    delay(10);
  }
}

void zap2()
{
    for (float f=3000;f&gt;10;f=f*0.85){
    tone(beep_pin,2*f);
    delay(5);
    tone(beep_pin,f);
    delay(5); 
  }
}
void risefall()
{
  float rise_fall_time=180;
  int steps=50;
  float f_max=2600;
  float f_min=1000;
  float delay_time=rise_fall_time/steps;
  float step_size=(f_max-f_min)/steps;
  for (float f =f_min;f&lt;f_max;f+=step_size){
    tone(beep_pin,f);
    delay(delay_time);
  }
   for (float f =f_max;f&gt;f_min;f-=step_size){
    tone(beep_pin,f);
    delay(delay_time);
  }
}
void fall(float rise_fall_time)
{
  int steps=50;
  float f_max=2000;
  float f_min=500;
  float delay_time=rise_fall_time/steps;
  float step_size=0.97;
  for (float f =f_max;f&gt;f_min;f*=step_size){
    tone(beep_pin,f);
    delay(delay_time);
  }
}
void rise()
{
  float rise_fall_time=2000;
  int steps=100;
  float f_max=1500;
  float f_min=500;
  float delay_time=rise_fall_time/steps;
  float step_size=1.012;
  for (float f =f_min;f&lt;f_max;f*=step_size){
    tone(beep_pin,f);
    delay(delay_time);
  }
  noTone(beep_pin);
  delay(100);
  
}

void twotone()
{
  float f_max=1500;
  float f_min=1000;
  float delay_time=800;
  tone(beep_pin,f_max);
  delay(delay_time);
  tone(beep_pin,f_min);
  delay(delay_time);
  
}
void loop() {
  // put your main code here, to run repeatedly:

 
  for (int count=1;count&lt;=10;count++)
  {
    risefall();
  }
  noTone(beep_pin);
  delay(gap);
  for (int count=1;count&lt;=10;count++)
  {
    fall(300);
  } 
  noTone(beep_pin);
  delay(gap); 
  for (int count=1;count&lt;=5;count++)
  {
    fall(600);
  }
  noTone(beep_pin);
  delay(gap); 
  for (int count=1;count&lt;5;count++)
  {
    rise();
  }
  noTone(beep_pin);
  delay(gap); 
  for (int count=1;count&lt;5;count++)
  {
    twotone();
  }
  noTone(beep_pin);
  delay(gap); 
  for (int count=1;count&lt;10;count++)
  {
    zap1();
  }
  noTone(beep_pin);
  delay(gap); 
  for (int count=1;count&lt;10;count++)
  {
    zap2();
  }
  noTone(beep_pin);
  delay(gap);  
}

It's also on GitHub, and released into the public domain under the unlicense so anyone can use it however they like