Here's a review of Hella SuperTone Electric horns, I installed in my '99
M3 Coupe.

Product : Hella SuperTone Electric horns
Sources : http://www.rapidparts.com/Pages/vwc004n.html @ $59.95
http://www.griotsgarage.com @ $69.95
Tools : Metric sockets, open end wrenches, crimping set or soldering iron
Accessories : Four female connectors
Install time : 1-2 hours
Goal : Louder more authoritative sounding horns
Notes : M3 stock horns looked like Hella mini 2-tone horn
http://www.rapidparts.com/Pages/vwhome.html

Instructions :
These horns come with relay and mounting brackets. While you will use the
brackets, relay isn't needed because M3 already has a relay for horns.
Installation is very straight forward and easy. Actually, M3 come with
Hella horns with very similar mounting brackets. So the whole procedure is sort
of plug and play.

First, clear some room to access stock horns by removing air box and HFM.
Once you do this, you'll have clear access to stock horns mounted below and behind driver side headlight. Now you can remove stock horns and stock mounting brackets.  Now you can bolt-in new horns with their mounting brackets in place of stock ones. To make it easier, remove brackets from the new horns and bolt then in first. Then place horns in and tighten.  Now all you have to do is to splice short pieces of wires with female connectors into stock wiring and plug them into new horns. If you're so inclined, you could cut off stock connectors and crimp female connectors in their place.

Now get into the car, close the door and windows, tell everyone to step
away from the car and cover their ears. Lay on the horn.