If you use a device which can receive audio via AirPlay, or even just switch your Mac's audio output device, you can easily do that without any extra software.
You may know that, with Mountain Lion, Macs made in the last couple years can broadcast their screen to an Apple TV using AirPlay. This is useful for showing just about anything that can be seen on a Mac on your TV. However, if your Mac was made before 2011, you likely don't have this ability. But there's good news! If you just want to beam your Mac's audio to an Apple TV or AirPort Express, just about everyone running Apple's latest OS can do that.
To set it up, open System Preferences and go to the Sound pane. From there, select the Output tab and select the device to which you want to broadcast your Mac's audio. When you're done, simply select your primary output device (which is typically called "Internal Speakers" or "Headphones").
"But wait," you're likely saying. "Isn't there a quicker way?" Why, yes there is. To select an AirPlay output device from just about anywhere on your Mac, simply hold the "option" key while clicking the speaker in your menu bar to see a list of all available output (and input) devices. In fact, from this menu you can quickly switch your audio input and output to any device currently connected to your Mac. Now that's handy!
But just a moment. What if you don't have the little black speaker in your menu bar? Well, it's easy enough to get it there. Again, open System Preferences and head to Sound. From there, check the box located at the bottom of the window which reads "Show volume in menu bar" and you'll be all set.