The inhabitants of La Gomera, the Canary islands, speak Silbo Gomero, a completely whistled language.
Learning to whistle loudly is not an esoteric skill, that can be mastered by only a few. The techniques are simple and can be easily mastered with practice and patience, by anybody. You can have a lot of fun in the process, of course.
A whistle is made possible by the resonant cavity created in the mouth and the forceful blowing of air through a very small opening, that creates turbulence. The turbulence creates friction, thus leading to the vibration of the air column, in the mouth. This creates sounds of different frequencies. This is similar to something that happens in a flute, where different lengths of resonant cavities are created, which give you different tones of music.