I say whatever works, besides screaming at them. If clapping ( what I do) or whistling grabs their attention and holds it enough so you can relay instructions to them ( we are staying away from the street, you've gone to far, we're going this way, etc) then go for it.
My Dad always snapped his fingers at us, and I do that to my kids now.
Growing up, I always preferred the snap to him calling my name and yelling at me in front of a crowd! One loud snap and all 3 of us would fall in line next to him, and then he'd quietly explain what whoever was doing wrong.
I think to some degree it is good to have a way to communicate with them that stands out from the noise of a crowd or breaks through something else that has them completely zombified!
Of course you still teach them how to be polite and such, but then they know when Mom whistles she's serious!
I have seen many other parents use different methods. Some whistle, some snap, some clap their hands or make a strange sound.