I have a GWS lost model alarm fitted into my largest / most expensive model.
It will beep when tx is turned off or an aux switch is flicked.
It will also beep if the rx battery is low.
http://www.aeromicro.com/Catalog/gws...r__1318614.htm

They are ok, and I had to use mine the second time I went out with this plane!
Luckily I found my plane a lot more easily with it beeping away in 6 feet high crops in a farm field, but you still have to have a good line of sight of where it actually went.
The downside of it is that although it has a decent volume of beeping, this is easily drowned out with it being fitted inside your model, plus the distance you are away from it when looking for it, so you need to know the general area of where it is anyway.
The tracking systems are better, but are expensive, as you need receiving equipment etc, and is not as common.