I can't recall exactly what it was now but I do recall some people getting extremely het up when the first test happened a few years ago. There was a reasonable criticism that it could cause issues for people who have a hidden second phone (women suffering domestic violence was an example given) but most complaints seemed to trend towards the crackpot end of things!
Showing your age the nationwide system was discontinued around 1992(ish)!
Up here on the coast we got a siren test once a week at 10am on Tuesdays from the Wilton Industrial site (née ICI Wilton). Not sure if they still test as regularly anymore but it went off about a year or so ago as I was walking home from work (so presumably there was an actual incident of some description!) and it was during a period when Russia was really rattling the nuclear sabre which made for quite a sombre walk home even though there was no way it could be warning of nuclear strike.