DANGER WARNING DANGER: In order to drive LEDs and sirens and build useful microcontroller stuff successfully you’ll also inevitably end up venturing into electronics a fair bit. If you’re lucky, it’ll cost you at least $200 in various bits and bobs and tools and chips from China (AliExpress/Banggood) and who knows where else (Amazon, mouser, digikey) and in return you might only get a bunch of wasted time and junk and clutter all around your living space, and a bitter sense of failure.
There’s plenty of people around these forums who encourage such behavior, it doesn’t mean it’s the right fit for everyone, physical and usually even worse mental self-harm are not excluded outcomes.
Usually, this type of thing is very niche and not a “very social sport”, it’s mostly an individual activity unless you count new friends/weird people you may run into online. Relationships have suffered as a result of engaging into this type of thing.
With that grim disclaimer out of the way, carry on, good luck! 
Before venturing deep into c/c++/python or various SDKs … or too deep into learning how transistors work and digging into various data sheets on uln2003a Darlington arrays or computing whether or not you can charge/discharge a particular MOSFET straight from a microcontroller pin quickly enough… and motors and relays …you’ll probably need a few things first.
@x0r is right, a couple of well known good esp32 board with plenty of pins like this one from wemos … or a pack of 5 or 10 random $3 - $5 esp32 boards would work.
There just isn’t that many microcontrollers with wifi that can be easily programmed, these are particularly cheap and easy to use and not highly specialized.
They’re also very popular with hobbyists.
Next, you’ll probably want to connect the microcontroller to something that blinks and/or makes noise in the physical world. The tiny status led on most esp32 boards that you can blink at will, probably won’t keep your interest for long. For that, you’ll need a soldering iron e.g. a “pinecil” is an awesome tiny one great for this kind of stuff , you’ll need some insulated wire … ideally 2 colors, some 1mm or 0.5mm rosin core solder wire, “helping hands” stand, flush cutters, probably half a dozen prototyping boards and various DuPont connector wire. You might also need/want a crimping tool (e.g. I’m happy so far with my iwiss sn-01bm, haven’t tried many others)
Then, on the software side of things, try using a modular framework like esphome (beeper example). The documentation website has a lot of examples of things bits and bobs you can interface with easily. With it, you mostly specify what you want in your firmware in a yaml config and it takes care of translating that into c++ and pulling in all the libraries and building and flashing the firmware. Once your ESPHome is online, you can interface with it over your home network, e.g. from Home Assistant if what you’re building is an iot home automation project, or just through mqtt or http or plain old TCP or UDP. … depending on how you feel like that particular day.
You can of course do everything “on hands and knees” from scratch, but you can also leverage and build upon other people’s work and you’d still run into plenty of learning opportunity along the way.
