Now you have my curiosity up.  I have the remote controlled Polar Express.  It makes the announcements out of the tender. All it says is "All aboard, this is the Polar Express" when stationary and what sounds like "all up, tickets please" when moving.  My set didn't come with the car with the conductor, though I am aware of the seperate announcement car.  Does the announcement car have him saying anything more than what I quoted? 

I do not believe that any other sounds can be added to these cars, as the audio chip is probably read-only. There is a company that sells custom modules, if you wish to customize a car or accessory. http://www.ittproducts.com/index.html

Larry