Among the families of musical instruments, examples of horns are probably the easiest to make. All you need is a section of pipe from the hardware store. I like PVC pipe the best, because it is cheap and lightweight, and is easy to find in a variety of sizes, but any pipe will work. Even mailing tubes or the cardboard tubes from paper towel rolls will work, although not as well as firmer material. If you can find them, bona fide bull horns (such as the one below) or ram horns (e.g. a “shofar” from a Jewish supply shop), or conch shells with the tip broken off, are all capable of projecting quite a bellow.
The trick with horns is to blow into them properly. If you played trumpet or tuba in your school band, you should have no problem with sounding a PVC pipe or a bull horn. If you haven’t: You have to tighten your lips as you exhale in just the right way to make your lips flutter as you blow. This takes a little practice, but it isn’t that difficult–some of us do that already when we want to make an especially exuberant sigh. How you form your lips will also depend a little on the size of the opening–larger openings require looser lips, and smaller openings require tighter lips. If the opening is too small, making your lips flutter properly is impossible, which is why the bull horn pictured above has a trumpet mouthpiece stuck into the small end.
With a tube the length of a paper towel tube or shorter, I have great difficulty making them sound, but I don’t have much problem with any tube longer than that. With tubes around four feet long, I can even play three or four different notes, like a bugle.