Today's Little Program plays a sound when the Alt+Tab window appears and disappears.

#define STRICT
#include <windows.h>
#include <mmsystem.h>

HWND g_hwndAltTab = nullptr;

void CALLBACK WinEventProc(
    HWINEVENTHOOK hWinEventHook,
    DWORD event,
    HWND hwnd,
    LONG idObject,
    LONG idChild,
    DWORD dwEventThread,
    DWORD dwmsEventTime
)
{
 PCTSTR pszSound = nullptr;
 switch (event) {
 case EVENT_SYSTEM_SWITCHSTART:
  if (!g_hwndAltTab) {
   g_hwndAltTab = hwnd;
   pszSound = "C:\\Windows\\Media\\Speech on.wav";
  }
  break;
 case EVENT_SYSTEM_SWITCHEND:
  if (g_hwndAltTab) {
   g_hwndAltTab = nullptr;
   pszSound = "C:\\Windows\\Media\\Speech sleep.wav";
  }
  break;
 }
 if (pszSound) {
  PlaySound(pszSound, nullptr, SND_FILENAME | SND_ASYNC);
 }
}

int WINAPI WinMain(HINSTANCE hinst, HINSTANCE hinstPrev,
                   LPSTR lpCmdLine, int nShowCmd)
{
 HWINEVENTHOOK hWinEventHook = SetWinEventHook(
     EVENT_SYSTEM_SWITCHSTART, EVENT_SYSTEM_SWITCHEND,
     nullptr, WinEventProc, 0, 0,
     WINEVENT_OUTOFCONTEXT | WINEVENT_SKIPOWNPROCESS);

 if (hWinEventHook) {
  MessageBox(nullptr, "Close this window when sufficiently annoyed.",
             "Hello", MB_OK);
  UnhookWinEvent(hWinEventHook);
 }
 return 0;
}

The program registers an accessibility event hook for the EVENT_SYSTEM_SWITCH­START and EVENT_SYSTEM_SWITCH­END events. The Start event fires when an Alt+Tab operation begins, and the End event fires when an Alt+Tab operation completes. As noted in the documentation, you can get spurious End events, so we keep track of our current state to avoid any surprises.

In addition to adding an annoying sound to the Alt+Tab window, let's also add an annoying sound each time you move focus to a new item.

HWINEVENT g_hWinEventHookFocus = nullptr;

void CALLBACK WinEventProc(
    HWINEVENTHOOK hWinEventHook,
    DWORD event,
    HWND hwnd,
    LONG idObject,
    LONG idChild,
    DWORD dwEventThread,
    DWORD dwmsEventTime
)
{
 PCTSTR pszSound = nullptr;
 switch (event) {
 case EVENT_SYSTEM_SWITCHSTART:
  if (!g_hwndAltTab) {
   g_hwndAltTab = hwnd;
   g_hWinEventHookFocus = SetWinEventHook(
     EVENT_OBJECT_FOCUS, EVENT_OBJECT_FOCUS,
     NULL, WinEventProc, 0, 0,
     WINEVENT_OUTOFCONTEXT | WINEVENT_SKIPOWNPROCESS);
   pszSound = "C:\\Windows\\Media\\Speech on.wav";
  }
  break;
 case EVENT_SYSTEM_SWITCHEND:
  if (g_hwndAltTab) {
   g_hwndAltTab = nullptr;
   UnhookWinEvent(g_hWinEventHookFocus);
   g_hWinEventHookFocus = nullptr;
   pszSound = "C:\\Windows\\Media\\Speech sleep.wav";
  }
  break;
 case EVENT_OBJECT_FOCUS:
  if (hwnd == g_hwndAltTab) {
   pszSound = TEXT("C:\\Windows\\Media\\Speech Misrecognition.wav");
  }
  break;
 }
 if (pszSound) {
  PlaySound(pszSound, nullptr, SND_FILENAME | SND_ASYNC);
 }
}

int WINAPI WinMain(HINSTANCE hinst, HINSTANCE hinstPrev,
                   LPSTR lpCmdLine, int nShowCmd)
{
 HWINEVENTHOOK hWinEventHook = SetWinEventHook(
     EVENT_SYSTEM_SWITCHSTART, EVENT_SYSTEM_SWITCHEND,
     nullptr, WinEventProc, 0, 0,
     WINEVENT_OUTOFCONTEXT | WINEVENT_SKIPOWNPROCESS);

 if (hWinEventHook) {
  MessageBox(nullptr, "Close this window when sufficiently annoyed.",
             "Hello", MB_OK);
  UnhookWinEvent(hWinEventHook);
  if (g_hWinEventHookFocus) {
   UnhookWinEvent(g_hWinEventHookSelect);
  }
 }
 return 0;
}

Okay, this was a pretty annoying program, but maybe you can use it for something better.