It is possible to change.
Don't think you can change all sounds. They are hidden in deep locations. This works because the Calendar and Reminders both rely the system sound,"Basso" as their default alert sound. That sound is located in /System/Library/Sounds and is called Basso.aiff
Here is what to do (In this order):
1. Delete Basso.aiff
2. Find a better alert sound
3. Change the name of the sound to, "Basso" and convert it to AIFF so it should now be called, "Basso.aiff"
4. Move the file to /System/Library/Sounds
5. Restart the computer
6. Now your default alarm for Calendar and Reminders has a great sound. Enjoy!