Well, the whistle in most of the modern units can be "souped up" by removing a resistor that limits it's volume. Remove this resistor and replace it with a plain wire.
The smoke can be enhanced by dropping the value of the resistor, I think many of the starter sets have a 30 ohm resistor, try a 20 or 22 ohm 3W wirewould in place of it. Fan driven smoke would be a larger change. 
The only way I can see of adding the backup light easily is to drive it from the motor with a tether from the locomotive. An LED and resistor will light in only one polarity, so connecting it to the motor will light it in only one direction. If it lights going forward, swap the leads to the motor voltage.
