I downloaded some software called 'LAlarm' and it did the trick. It has an 'anti-theft' alarm that will sound if the computer is disconnected from the AC source after its been armed. I guess it's meant to be used at a library or something where you might walk away from your laptop for a minute or two.
Anyways, when the power went out the laptop was fooled into thinking the computer was unplugged, and the alarm sounded.
Thanks for the other suggestions, but it was 10pm and Best Buy wasn't open :P