The Doppler effect for sound waves is dramatically demonstrated by swinging a ringing tuning fork around your head.
The whistle ball is another good way to demonstrate doppler shift. A sponge ball has been stuffed with a battery operated whistle in its core. As the ball is thrown around the lecture hall, the students hear a shift in the ball's frequency.
A sound clip is available indicating the doppler shift of a car horn at 30 MPH. The link is http://www.exploratorium.com/imagery/sounds/30_MPH_doppler.au
The animated applet below is a good way to visualize the doppler shift. Click in the box below and then allow the applet to run. Click on the run button. You can control the speed of the source. The applet is also available on our ephysics site.
The picture below shows boat wakes which occur when the boat moves faster than the speed of water waves. Compare this to the ephysics applet when the source moves faster than the speed of sound.