In an instructive video, Brett McKay of The Art of Manliness (previously) demonstrates how to whistle with your fingers. McKay explains each step thoroughly until he finally reveals his own method for emitting a commandingly loud whistle with his fingers in his mouth.
With your fingers in your mouth, keeping the tip of your tongue folded and lips tucked back over your teeth, close your mouth around your fingers. You want to make sure you have a complete seal around your fingers. And blow.
via Nag on the Lake