It comes through the stereo speakers. If you are thinking of wanting it louder because maybe you sometimes don't realize you've left your blinker on after changing lanes, can I offer a bit of advice you may or may not be aware of?
If you just halfway pull the turn signal stalk, the blinker will flash 3 times only. I love this feature and use it all day. I'll even bump the stalk a second time if I desire an additional 3 blinks for say making a left/right turn.
I like it so much that I find myself trying to do it in my wife's car before realizing that her '09 Scion has clearly inferior technology and doesn't come equipped with this glorious feature.
But to answer your question, IIRC, there is settings you can access in the stereo menu that may have to do with body lighting/sound settings.