Brass instruments
The trumpet sounded three times before the play began, and in tragedies and histories especially sounded frequently during the play to announce the entry of important characters.
Ceremonial scenes will begin with a "flourish," a fanfare of trumpets, or a "sennet" (literally a sign, again a fanfare to signify the importance of the characters and the scene).
Listen to a fanfare:
Hunting horns announce the beginning of the hunt in A Midsummer Night's Dream; but to exploit the full sonority that the brass instruments can command Shakespeare would have had to employ a consort of trumpets and sackbutts--the predecessor of today's trombone.
Listen to music played on trumpets and sackbutts.