The stories about not being able to hear sirens at highway speeds is true. When I attended the police academy, during emergency vehicle operation training the instructors did an exercise where I and 3 other recruits sat in a patrol car being driven by an instructor at 65 MPH. Another patrol car came up behind us doing 100+ MPH with its siren on. Without looking behind, we were instructed to raise our hands the moment we heard a siren. The second patrol car was practically NEXT to us by the time any of us heard its siren.
A big part of the problem is simply the way modern cars are built. Even the cheapest cars are being fitted with more and more sound insulation and powerful sound systems. The technology that keeps your new Lexus as quiet as a church, and its sound system as powerful as a concert hall's, is also the same technology that keeps you from hearing those sirens. Perhaps in the future, car manufacturers can include circuitry in stereo systems that detects nearby sirens, which would then override what you're playing and even broadcast the siren (at a reasonable level of course) over the stereo speakers. Stereos already exist that override your musical selections to broadcast traffic reports (they're especially popular in Europe), and with the advent of Dolby surround sound for your home theater there's no reason they can't simulate the direction the siren's coming from.
Until then however, there is a cheap and effective workaround for this: CHECK YOUR MIRRORS FREQUENTLY!! I find my most frustrating Code 3 (lights and siren) experience to be when people I come up to from behind don't yield; traffic that is approaching me, or coming from a side street, doesn't seem to be as bad. On top of the siren, public safety agencies (whether it be law enforcement, fire, or EMS) will also have their light bars activated. Many will also install auxiliary lighting such as wig-wags (headlights that flash alternately from side to side) and strobe-lighting.
I found another effective way to hear sirens is to not have your windows up all of the way if possible. I don't expect anybody to drive in a rainstorm or a blizzard with all the windows down, but if the weather's good there's no reason to not have the windows open a crack. During my academy days, we had to drive around with all the windows down regardless of the weather (and unfortunately I attended the academy during the winter...an El Nino winter no less :11: ). This was so that we could hear sounds around us, like windows being broken or people screaming for help. Once I graduated the academy, my training officer taught me the lessons of "the academy vs. reality" and showed me by keeping the front windows up, but the rear windows rolled down an inch or two, I could still hear outside sounds.
My personal car has a sunroof that tilts up, and I find that by doing that I can still hear the sirens pretty well even with all the windows rolled up tight. The increase in road noise is minimal (even less than a window cracked open) and I find it comfortable even in cool weather. The only time I close it is for rain.