XDA Developers wrote an application called HButton which overcomes the default limitation of the Operating System of having only one application bound to a press and hold action on a hardware button.

This application runs on Windows Mobile Professional 5 or later and it basically allows you to choose up to 5 actions that can be bound to a long press on a hardware button. It can be configured to show you the list of actions in a cycle mode (and just release the button to activate the displayed action) but it can also be configured to use vibration of sound beep instead of the action name.

Just download and install the application, then launch HBSetup to customize the actions for the button and then go to Start>Settings>Personal>Buttons and assign HButton to any of your hardware buttons.