A regular horn isn't satisfying and much quieter than an air horn. This makes a great difference in multiplayer where a regular horn may be hard to hear sometimes.
In order to use an air horn, you have to add them on your truck's cabin. There are a few different models that differ not only in their appearance but also in their sound. Buy a light bar attachment if you want to attach them to your hood. Cabin's top can hold all of the air horns that are available in the game. The small "Screamers" can only be attached on a grille. Increase your character level to attach more horns. To use an air horn, you have to press a different button than that for a sound signal - "N" is the default button.