Two days before, I just discussed about how you can Change Flag Icon of Mail. I know if you've chance, you will try that.
And now, I'm going to introduce you how to change your Mail alert sound. If you notice, your Mail has four types of alert sound, i.e. Mail Fetch Error, Mail Sent, New Mail and No Mail. The function of these types of alert sound are self-explanatory so I am sure I don't need to explain further.
These alert sounds are stored in your Mail application package with the format AIFF. Before going further, I will give you a brief explanation of this audio format.
According to wikipedia, AIFF is..
Audio Interchange File Format (AIFF) is an audio file format standard used for storing sound data for personal computers and other electronic audio devices. The format was co-developed by Apple Computer in 1988 [1] based on Electronic Arts' Interchange File Format (IFF, widely used on Amiga systems) and is most commonly used on Apple Macintosh computer systems. AIFF is also used by Silicon Graphics Incorporated.
This audio format is non-compressed, lossless format which uses much more disk space than MP3 but helps you in streaming in multiple audio files from disk to your application. Hm.. A bit difficult to understand it, maybe this can help you, "It's fast yet expensive audio format."
You can go to Simply the Best to get the various sound effects in AIFF format.
And next, you're going to be directed to the location of these sound files.
When browsed through your inbox with your Mail application, sometimes you need to flag certain useful email for future reference. With simple keystrokes, Shift Command L you can flag selected mails.
And now, do you want to change the icon of the flag as shown in screenshot below?