Are you open to the Thomas the train train sets?
My son LOVES the Thomas trains. He has recieved one or two for Christams or birthdays (and some times other times of the year a a treat). His collection is getting quite large but it wasn't a big expense to us because it was a little here and there or gifts.
I know there is a Thomas the Train movie out now (Christmas theme) that has a small train whistle included. This might be a good way to introduce the Thomas stories, etc. You can also buy these trains on ebay so they are not as expensive.
Also, after seeing the previous posters response about Brio trains, I would like to add that all wooden trains work on all wooden tracks (ie: Brio and Thomas trians with both ride on eachother tracks). You can find inexpensive (not brand name) wooden track, risers, bridges, etc made by Melissa and Doug. (I found them at a little train store in Geneva, IL) It was a great find and a great way to expand my son's track without breaking the bank.
You can also find larger wooden train whistles at a children's train store. There is one in Geneva, IL and another in Yorktown Mall in Lombard,Il.