Working with digital audio playback with Arduino generally requires the use of a fair amount of external parts, for example a separate MP3 player shield of some sort, or a memory card interface with a DAC IC and associated circuitry. However if you only want to play short noise samples to replace the typical buzzer alerts - or just have some fun experimenting with analogue electronics then the next project by Arduino forum member Jarkko Lempiäinen will be of interest.
They have created a simple digital to analogue converter circuit using an R-2R resistor ladder that mixes the digital output signals into a reasonable audio signal. (More about R-2R ladders here). The bytes of data to represent the audio are generated on a PC with capturing software that can output the data to be pasted in the Arduino sketch. And the results aren't bad at all, for example:
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If you're new to Arduino and want to join the fun, the first step is a solid board for your projects - our Freetronics Eleven - the Arduino-Uno compatible with low-profile USB socket, onboard prototyping space and easy to view LEDs: