Andreas Kiel made a render alert a while ago. There's a copy here.
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For ease of use, drop it in your dock. Then, start a render and then click on the app in the dock. Nothing will happen until the render finishes, at which stage your system alert sound should sound five times. (10 was too much for me).
Apparently you must have Universal access activated for this to work - which is is System preferences > Universal Access > tick the box Enable access for assistive devices at the bottom of the window.
But yes, it would be good to have an onboard one.