What should every fire emergency exit have?
A clearly visible identifying sign in all sight limiting conditions, a well maintained route of egress free of obstacles and lined with the same clearly visible markings as the exit itself, as well as the means to operate the emergency exit quickly if it has a proper barrier. (A door, hatch, fire retardant drape or material to stifle the amount of air coming in and smoke going out)
But I would say the most valuable thing to have for your emergency fire exit is - prior knowledge and training on everything listed above for the personnel or people that may need to make use of this emergency fire exit, emergency escape plan.
Should fire emergency, ambulance, and police vehicles all have different sounding sirens?
Why would that be important? We are all responding to an emergency. Would you make a decision in how you respond to the sound of a siren differently? We all have the ability to activate different sounds from our sirens and they are for different approaches. We will use one sound for straight forward approaches, we use a different sound as we approach intersections and others for interactions with vehicles we are coming up on. Fire trucks have one feature that is used that ambulances and law enforcement normally don't and that is the air horn.