The question is how you are connecting to the virtual machines and where you expects the sound to be played.
ESX does not virtualize the soundcard in the host so usually the remoteprotocol is delivering this capability (RDP or PCoIP)
// Linjo
I edit the vmx configuration file of the VM using the following link in order to get sound on Linux VMs.
http://virtualization.blognotions.com/2011/07/27/virtual-hd-audio-hardware-in-vsphere-5/