I've all but stopped yelling "On your left" because at the best it causes people to stop dead which is dangerous, at worst it often causes them to veer directly left and thus right into you. Yelling out "Heads up" or even "Coming through" is better because it's more neutral sounding and doesn't cause people to hear only "...LEFT!" and then run into you. However, a good attention-getter that is less bulky than an air horn but louder than a bell is this:
http://www.industrialbicycles.com/megahorn.htm
I've got an old one of these that is a bit busted up, but I plan on buying a new one to replace it. The only thing I don't like is that the cord that runs to the trigger just isn't long enough. I like to mount the horn on the head-tube portion of the stem, below the actual stem. Ideally, the cord would be long enough to run underneath the bar tape and then attach the trigger button near the right brake hood. I'll probably rewire the new one to do just that.