Many of you know that you can play sounds on your NXT. The NXT comes with a collection of existing sounds, and you can find more to download (just use google).
You can also create your own sounds. You can convert a WAV file to an RSO file (RSO is the format the NXT needs). To do this conversion, you can use the WAV2RSO program from BrickxCC to convert between WAV and RSO formats (and back again).
You can also listen to RSO files on your computer, using rsoplay from Brickley Roscowicz Engineering.
For tips on converting WAV files to RSO (file size and sound quality are important), check out The NXT STEP forum. Here is the link to the General Forums. There are a couple of topics already about playing sounds and MP3's on your NXT.