I could be wrong, but I thought that in 2006 all models had an aux port (but maybe that was 2007+)
You can get a kit to add auxiliary devices from
http://www.coastaletech.com/
A less expensive alternative is to get a cassette-to-iPhone connector. There are FM connectors as well, but folks aren't as happy with the sound quality.
The alarm depends on the options. If you push the panic button the horn should sound. Because you can't hot-wire the Prius, there isn't a lot of value to an alarm although a glass-break alarm was an option.
Think about joining one or more of the Yahoo Prius groups.