AGREED! and FIXED!!!
I used the Fiamm 130db horns, one high and one low. Don't use the horn-shaped cornucopia ones since they won't fit - get the disc-shaped ones that look like the one that's on there. I think they cost about $10-$12 each from Meijer's when I was in Michigan, but they're available at PepBoys and others for ~$25 the pair - probably less, I can't remember.
Using only one tone it'd bolt right up, but I had to rig up a quick harness to run 2 horns. I had to play with the bracketry a little but it bolts right up, looks decen, and is VERY LOUD.
Wiring: The OE horn connector is a single female spade connector on a short lead. Make a harness that looks like a "Y" with a male spade connector on the single lead, and two female connectors on the other leads. Make sure the leads are long enough to reach once the horns are bolted up (the OE connector is pretty short). Plug the male to the OE female, and use the other two females to plug to the horns. ZIptie the wires in place so they don't rub, using electrical tape or some other friction-reducing material between the wire and bracketry to prevent their eventual rubbing or shorting on the bracket/radiator in the 60++MPH wind/rain/salt/sand/bugs/snow/hail they'll be exposed to.
The horns ground through their mounting bolt, so you're set there. That's it! Doesn't sound very Euro, more generic, but very loud (and that's the point).
I'l take a pic when I get the car back from the dealer - they're working on the alarm (parking lights don't go off) and claim to not be able to replicate the hesitation (had to describe it to them over the phone... now they're test driving it again) or rear suspension clunk (they're in a noisy area and mine isn't that bad - yet). Yuck.
Hope this helps - and I agree the stock horn sounds, well, only slightly less loud and obnoxious than the goose-like BPV on lift-throttle...