connect a real speaker (peizo will sound really bad) to ground and digital pin 11
if you want to do it yourself: http://highlowtech.org/?p=1963
synapsis (fast explination for advanced folks with no time):
arduino library:
https://github.com/damellis/PCM/zipball/master
install these (unzip):
Windows (ew): https://highlowtech.org/wp-content/uploads/2011/12/EncodeAudio-windows.zip
Mac OS X (ew): https://highlowtech.org/wp-content/uploads/2011/12/EncodeAudio-macosx.zip
Linux (nice): https://highlowtech.org/wp-content/uploads/2011/12/EncodeAudio-linux.zip
get an audio (like 20 secs at most), make the quality 16 and the sample rate 8 (audacity works well), save that somewhere and open it with the program above. replace that big ass array in the example program by pasteing (sometimes pasting doesnt work with a huge array so just shorten the audio a bit) then cut down on the end of the array untill it fits in the arduino storage (just compile to test). have lots of funzies (: